Monetary policy during Brazil's Real Plan: estimating the Central Bank's reaction function

Revista Brasileira de Economia

Maria José S. Salgado¹  Márcio G. P. Garcia¹  Marcelo C. Medeiros¹ 

[1] ,Pontifical Catholic University of Rio de Janeiro Department of Economics

关键词: time series;    interest rates;    threshold models;    nonlinearity;    reaction function;    Taylor rule;   

DOI  :  10.1590/S0034-71402005000100003

来源: SciELO

【 摘 要 】

This paper uses a Threshold Autoregressive (TAR) model with exogenous variables to explain a change in regime in Brazilian nominal interest rates. By using an indicator of currency crises the model tries to explain the difference in the dynamics of nominal interest rates during and out of a currency crises. The paper then compares the performance of the nonlinear model to a modified Taylor Rule adjusted to Brazilian interest rates, and shows that the former performs considerably better than the latter.

【 授权许可】

CC BY   
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