Lima, Elcyon Caiado Rocha; Martinez, Thiago Sevilhano; … - 2015
This paper investigates the effect of monetary and exchange rate shocks on disaggregated prices of the Brazilian Consumer Price Index (IPCA), from 1999 to 2011. We analyze the results of a factor-augmented vector autoregressive model (Favar), which are presented by different levels of...