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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.

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File URL: http://www.econ.puc-rio.br/pdf/td444.pdf
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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
Date of revision:
Publication status: Published in Revista Brasileira de Economia,v. 59, p. 61-79, 2005
Handle: RePEc:rio:texdis:444
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  1. 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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