This paper investigates the relationship between interest rate and volatility of real effective exchange rate in Brazil. Through a simultaneous multivariate GARCH model, which allows estimating equations for the mean and variance in a single stage, it was observed that: it’s not possible to...

This paper explores two changes in traditional models that measure the exchange rate pass-through in Brazil. The first change is a non-linear specification to the pass-through coefficient, making it depend on other variables that reflect economic conditions. The second change is to consider...