Sensibilidade da inflação em relação ao preço da gasolina: uma abordagem cross-country

Abstract

This dissertation looked at whether and how changes in gasoline prices influence consumer price index (CPI) shocks in a number of emerging and developed countries, for the period 2005 to 2020. For this, the Vectors Autoregressive model (VAR), Vectors Autoregressive with Threshold (TVAR), Threshold Vector Error Correction Model (TVECM), Dynamic Panel Threshold with Endogenous Returns and a Panel Vector Autoregression model (PVAR), which made it possible to evaluate: (i) the average effect of fuel price shocks on CPI; ii) identify whether there is asymmetry between positive and negative shocks; and iii) whether the country’s income level would affect the effects of gasoline on the CPI. The results show that the variations in fuel prices have a significant participation in the CPI, especially for developed countries, which had a greater degree and persistence impact than when compared to the emerging. In addition, evidence was obtained that the transfers of gasoline prices impact CPI with a higher degree of intensity in regimes of increase in fuel prices, so that there are great indications of asymmetric transmission of gasoline prices in the CPI.