Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/186686
Authors: 
Salgado, Maria José
Garcia, Márcio Gomes Pinto
Medeiros, Marcelo C.
Year of Publication: 
2001
Series/Report no.: 
Texto para discussão 444
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.
JEL: 
C22
C51
C52
E52
E58
Document Type: 
Working Paper
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