Monetary Policy During Brazil ́s Real Plan: Estimating the Central Bank ́s Reaction Function*
نویسندگان
چکیده
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 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.
منابع مشابه
Departamento De Economia Puc-rio Texto Para Discussão N. 444 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 mo...
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