International interest rate comovements and monetary policy in Bazil

Comovimentos de taxas de juros internacionais e politica monetaria no Brasil

Rodolfo Herald da Costa Campo () and Roberto Tatiwa Ferreira ()

Estudios Economicos, 2024, vol. 041 (Nueva Serie), issue 83, 211-239

Abstract: This article shows that international spillovers or coordination in central bank interest rate setting are significant components of the Brazilian Taylor rule. For this, the short-term interest rate comovements of 28 countries and Euribor were estimated through a dynamic factor model. A nonlinear reaction function for the Central Bank of Brazil that includes global and regional factors evidenced that monetary policy in Brazil is influenced by the policy of other broad groups of countries and not just the United States and the Eurozone.

Keywords: comovements; dynamic factor model; Taylor rules; monetary policy; comovimentos; modelo dinâmico de fatores; reglas de Taylor; política monetária (search for similar items in EconPapers)
JEL-codes: C3 E52 E58 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:uns:esteco:v:41:y:2024:i:83:p:211-239

DOI: 10.52292/j.estudecon.2024.3595

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