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|
|Date of revision:|
|Publication status:||Published in Revista Brasileira de Economia,v. 59, p. 61-79, 2005|
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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
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, vol. 8(3), pages 1-34, September.
- Dolado, Juan José & Ruge Murcia, F. J. & Ramón, Maria Dolores, 2002. "Nonlinear monetary policy rules: some new evidence for the US," UC3M Working papers. Economics we022910, Universidad Carlos III de Madrid. 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 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 18-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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