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

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Texto para discussão ; No. 444

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection ; Monetary Policy ; Central Banks and Their Policies

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Salgado, Maria José ; Garcia, Márcio Gomes Pinto ; Medeiros, Marcelo C.
• Ereignis: Veröffentlichung
• (wer): Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
• (wo): Rio de Janeiro
• (wann): 2001

Weitere Informationen

• Handle: http://hdl.handle.net/10419/186686
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ