Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function
AbstractThis 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.
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Bibliographic InfoArticle provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its journal Revista Brasileira de Economia.
Volume (Year): 59 (2005)
Issue (Month): 1 (January)
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Other versions of this item:
- Maria José Salgado & Márcio Gomes Pinto Garcia & Marcelo C. Medeiros, 2001. "Monetary policy during Brazil´s Real Plan: estimating the Central Bank´s reaction function," Textos para discussÃ£o, Department of Economics PUC-Rio (Brazil) 444, Department of Economics PUC-Rio (Brazil).
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
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- Dolado, Juan J. & María-Dolores, Ramón & Ruge-Murcia, Francisco J., 2002.
"Non-Linear Monetary Policy Rules: Some New Evidence for the US,"
CEPR Discussion Papers, C.E.P.R. Discussion Papers
3405, C.E.P.R. Discussion Papers.
- Dolado Juan & Pedrero Ramón María-Dolores & Ruge-Murcia Francisco J., 2004. "Nonlinear Monetary Policy Rules: Some New Evidence for the U.S," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 8(3), pages 1-34, September.
- J. J. Dolado & R. Maria-Dolores & F. J. Ruge-Murcia, 2002. "Nonlinear Monetary Policy Rules: Some New Evidence For The Us," Economics Working Papers, Universidad Carlos III, Departamento de EconomÃa we022910, Universidad Carlos III, Departamento de Economía.
- DOLADO, J.J. & MARIA-DOLORES, R. & RUGE-MURCIA, Francisco J., 2003. "Nonlinear Monetary Policy Rules: Some New Evidence for the U.S," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2003-24, Universite de Montreal, Departement de sciences economiques.
- DOLADO, J.J. & MARIA-DOLORES, R. & RUGE-MURCIA, Francisco J., 2003. "Nonlinear Monetary Policy Rules: Some New Evidence for the U.S," Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ 18-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Edilean Kleber da Silva & Marcelo Savino Portugal, 2010. "Central Bank Preferences And Monetary Rules Under The Inflation Targeting Regime In Brazil," Working Papers, Universidade de SÃ£o Paulo, Faculdade de Economia, AdministraÃ§Ã£o e Contabilidade de RibeirÃ£o Preto 07-2010, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
- Melike Altinkemer, 2005. "Recent Experiences with Capital Controls : Is There A Lesson for Turkey?," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 5(2), pages 1-38.
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