Monetary Policy During Brazil's Real Plan: Estimating the Central Bank's Reaction Function

Maria José Salgado, Márcio G.P. Garcia, Marcelo C Medeiros

Research output: Contribution to journalArticlepeer-review

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 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.
Original languageEnglish (US)
Pages (from-to)61-79
JournalRevista Brasileira de Economia
Volume59
Issue number1
StatePublished - 2005
Externally publishedYes

Keywords

  • time series
  • Taylor rule
  • reaction function
  • nonlinearity
  • threshold models
  • interest rates

Fingerprint

Dive into the research topics of 'Monetary Policy During Brazil's Real Plan: Estimating the Central Bank's Reaction Function'. Together they form a unique fingerprint.

Cite this