Nonlinear mechanisms of the exchange rate pass-through: a Phillips curve model with threshold for Brazil

this paper investigates the presence of nonlinear mechanisms of pass-through from the exchange rate to inflation in brazil. in particular, it estimates a phillips curve with a threshold for the pass-through. the paper examines whether the short-run magnitude of the pass-through is affected by the business cycle, direction and magnitude of exchange rate changes, and exchange rate volatility. the results indicate that the short-run pass-through is higher when the economy is growing faster, when the exchange rate depreciates above some threshold and when exchange rate volatility is lower.