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

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  • Maria José S. Salgado
  • Márcio G. P. Garcia
  • Marcelo C. Medeiros

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.

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File URL: http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/893
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Bibliographic Info

Article 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)
Pages: 61-80

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Handle: RePEc:fgv:epgrbe:v:59:n:1:a:3

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  1. 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.
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Cited by:
  1. 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 São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto 07-2010, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
  2. 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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