Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/121571 
Year of Publication: 
2015
Series/Report no.: 
Texto para Discussão No. 2072
Publisher: 
Instituto de Pesquisa Econômica Aplicada (IPEA), Brasília
Abstract (Translated): 
This paper investigates the effect of monetary and exchange rate shocks on disaggregated prices of the Brazilian Consumer Price Index (IPCA), from 1999 to 2011. We analyze the results of a factor-augmented vector autoregressive model (Favar), which are presented by different levels of aggregation. We estimate the model using Bayesian techniques, and construct impulse-response functions using sign restrictions over the responses of macroeconomic variables. The main results were: i) 65.9% of the surveyed prices at the sub-items level fell after a monetary shock and 50.7% rose after exchange rate's shock; ii) only 2.6% of the sub-items (weight of 1.6% of the index) showed the price puzzle for monetary shocks and 2.3% (weight of 0.5% of the index) for exchange rate shocks; iii) macroeconomic shocks are more persistent than series-specific shocks; iv) the answers are different according to the sector considered.
Subjects: 
disaggregated prices
monetary and exchange rate shocks
Favar model
JEL: 
E31
E52
E37
Document Type: 
Working Paper

Files in This Item:
File
Size
699.98 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.