Monetary policy during Brazil´s Real Plan: estimating the Central Bank´s reaction function
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.
|Date of creation:||Sep 2001|
|Publication status:||Published in Revista Brasileira de Economia,v. 59, p. 61-79, 2005|
|Contact details of provider:|| Postal: Rua Marquês de São Vicente, 225, 22453-900 Rio de Janeiro, RJ|
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Web page: http://www.econ.puc-rio.br
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