Análise da relação entre expectativas de inflação e câmbio no Brasil: 2002-2020

Abstract

The exchange rate is, historically, one of the main variables that affect inflation in emerging markets. In this work, the relationship between the exchange rate and its influence on inflation expectations under the inflation targeting regime in Brazil will be addressed. The present study will also analyze the relationship between expectations and its other determinants, namely inflation, commodity prices, fiscal situation, GDP growth and the money supply. The analysis will be performed using an Autoregressive Distributed Lag model (ARDL), with monthly data from 2002 to 2020. The results found show that there is a positive and significant relationship between the real exchange rate and inflation expectations, in the short and long run. It was also found that inflation had a positive and significant impact in both periods, which implies that periods of price stability can help with monetary stabilization in the long term. GDP growth was also significant, while the price of commodities and fiscal stance showed mixed results. Finally, the money supply did not show significance.