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

Detalhes bibliográficos
Autor(a) principal: Salgado,Maria José S.
Data de Publicação: 2005
Outros Autores: Garcia,Márcio G. P., Medeiros,Marcelo C.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402005000100003
Resumo: 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.
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spelling Monetary policy during Brazil's Real Plan: estimating the Central Bank's reaction functiontime seriesinterest ratesthreshold modelsnonlinearityreaction functionTaylor ruleThis 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.Fundação Getúlio Vargas2005-03-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402005000100003Revista Brasileira de Economia v.59 n.1 2005reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71402005000100003info:eu-repo/semantics/openAccessSalgado,Maria José S.Garcia,Márcio G. P.Medeiros,Marcelo C.eng2005-09-23T00:00:00Zoai:scielo:S0034-71402005000100003Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2005-09-23T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false
dc.title.none.fl_str_mv Monetary policy during Brazil's Real Plan: estimating the Central Bank's reaction function
title Monetary policy during Brazil's Real Plan: estimating the Central Bank's reaction function
spellingShingle Monetary policy during Brazil's Real Plan: estimating the Central Bank's reaction function
Salgado,Maria José S.
time series
interest rates
threshold models
nonlinearity
reaction function
Taylor rule
title_short Monetary policy during Brazil's Real Plan: estimating the Central Bank's reaction function
title_full Monetary policy during Brazil's Real Plan: estimating the Central Bank's reaction function
title_fullStr Monetary policy during Brazil's Real Plan: estimating the Central Bank's reaction function
title_full_unstemmed Monetary policy during Brazil's Real Plan: estimating the Central Bank's reaction function
title_sort Monetary policy during Brazil's Real Plan: estimating the Central Bank's reaction function
author Salgado,Maria José S.
author_facet Salgado,Maria José S.
Garcia,Márcio G. P.
Medeiros,Marcelo C.
author_role author
author2 Garcia,Márcio G. P.
Medeiros,Marcelo C.
author2_role author
author
dc.contributor.author.fl_str_mv Salgado,Maria José S.
Garcia,Márcio G. P.
Medeiros,Marcelo C.
dc.subject.por.fl_str_mv time series
interest rates
threshold models
nonlinearity
reaction function
Taylor rule
topic time series
interest rates
threshold models
nonlinearity
reaction function
Taylor rule
description 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.
publishDate 2005
dc.date.none.fl_str_mv 2005-03-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402005000100003
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402005000100003
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S0034-71402005000100003
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Fundação Getúlio Vargas
publisher.none.fl_str_mv Fundação Getúlio Vargas
dc.source.none.fl_str_mv Revista Brasileira de Economia v.59 n.1 2005
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Revista Brasileira de Economia (Online)
collection Revista Brasileira de Economia (Online)
repository.name.fl_str_mv Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv ||rbe@fgv.br
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