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

Maria Salgado (), Marcio Garcia and Marcelo Medeiros ()

No 444, Textos para discussão from Department of Economics PUC-Rio (Brazil)

Abstract: 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 -which is chosen endogenously - 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.

JEL-codes: C22 C51 C52 E52 E58 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2001-09
New Economics Papers: this item is included in nep-ifn and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Published in Revista Brasileira de Economia,v. 59, p. 61-79, 2005

Downloads: (external link)
http://www.econ.puc-rio.br/uploads/adm/trabalhos/files/td444.pdf (application/pdf)

Related works:
Journal Article: Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rio:texdis:444

Access Statistics for this paper

More papers in Textos para discussão from Department of Economics PUC-Rio (Brazil) Contact information at EDIRC.
Bibliographic data for series maintained by ().