Moeda e preços relativos: evidência empírica

Abstract

In this paper we estimate a Vector Autoregressive Model of Money and Relative Prices in Brazil. The variables included in the model are the Money Supply (M1), the agricultural component of the Wholesale Price lndex and the industrial component of the same index. A thirteen lag structure is estimated and exogeneity tests as well as innovation accounting are performed. The most important empirical regularities observed in these series are the following: monetary shocks have important impacts on relative prices and inflation; agricultural and industrial shocks lead to increases in inflation but they are usually smaller than the monetary shocks.