Câmbio e performance inflacionária em regimes de câmbio flexível e metas de inflação: uma investigação para países selecionados da América Latina

Abstract

The main goal of this dissertation is to analyze Latin American experiences with flexible exchange rate and inflation target in order to understand the behavior of the exchange rate and inflation in a model with monetary characteristics. The volatility analysis suggests an increase in exchange rate volatility (except for Colombia) and a decrease in inflation volatility (except for Brazil). It can be said that the reduction in inflation volatility seems to be associated to the adoption of an inflation target regime where the interest rate policy, given the fear of inflation, is an important instrument to match such lower volatility. The VAR estimation uses the impulse-response function (IRF) and the variance decomposition analysis (VDA) for the exchange rate and inflation. It suggests for the exchange rate dynamics that: inflation and interest rates have some relevance in explaining exchange rate changes for Brazil and Chile, but for all countries the relative participation of these variables is small in explaining exchange rate movements; international reserves and monetary base seems to have a higher relevance in explaining exchange rate dynamics for Brazil and Chile. Inflation dynamics explanation for Brazil and Chile is directly associated to changes in the exchange rate; the inflation response to interest rate is not significant for Chile, Mexico and Brazil; and the Mexican inflation seems to be explained by specific elements of monetary policy such as the interest rate and the monetary base.