Márcio G. P. Garcia
Monetary Policy During Brazil´s Real Plan:
Estimating the Central Bank´s Reaction Function
Co-autores:
Maria José S.Salgado
Marcelo C. Medeiros
Texto para
Discussão - PUC-Rio
Set. 2001 #444
Setembro, 2001
Publicado na Revista Brasileira de
Economia (v.59, n.1, p.61-79, 2005).
Texto para Discussão No. 444 –
Departamento de Economia, PUC-Rio
Abstract
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.