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BIBTEX RIS

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

2005; FUNDAÇÃO GETÚLIO VARGAS; Volume: 59; Issue: 1 Linguagem: Inglês

10.1590/s0034-71402005000100003

ISSN

1806-9134

Autores

Maria José S. Salgado, Márcio Garcia, Marcelo C. Medeiros,

Tópico(s)

Global Financial Crisis and Policies

Resumo

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.

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