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

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Author Info
Maria José Salgado
Márcio Gomes Pinto Garcia () (Department of Economics PUC-Rio)
Marcelo C. Medeiros () (Department of Economics PUC-Rio)

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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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Publisher Info
Paper provided by Department of Economics PUC-Rio (Brazil) in its series Textos para discussão with number 444.

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Length: 17 pages
Date of creation: Sep 2001
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Publication status: Published in Revista Brasileira de Economia,v. 59, p. 61-79, 2005
Handle: RePEc:rio:texdis:444

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
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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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Márcio gomes Pinto Garcia & Marcus Vinicius Ferrero Valpassos, 1998. "Capital flows, capital controls and currency crisis: the case of Brazil in the nineties," Textos para discussão 389, Department of Economics PUC-Rio (Brazil). [Downloadable!]
  2. Kim, Dong Heon & Denise R Osborn & Marianne Sensier, 2003. "Nonlinearity in the Fed's Monetary Policy Rule," Royal Economic Society Annual Conference 2003 121, Royal Economic Society. [Downloadable!]
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  3. Nobay, A. R. & Peel, D. A., 2000. "Optimal monetary policy with a nonlinear Phillips curve," Economics Letters, Elsevier, vol. 67(2), pages 159-164, May. [Downloadable!] (restricted)
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  1. Cleomar Gomes & Márcio Holland, 2003. "Regra de Taylor e Política Monetária em Condições de Endividamento Público no Brasil," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] b44, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
    Other versions:
  2. Márcio G. P. Garcia, 2002. "Brazil in the 21st century: How to escape the high real interest trap?," Textos para discussão 466, Department of Economics PUC-Rio (Brazil). [Downloadable!]
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