Abordagem discreta para a dinâmica da taxa Selic-meta

Authors

  • Sidney Martins Caetano UFV; Programa de Pós-Graduação em Economia
  • Geraldo Edmundo Silva Jr UFSCar; Programa de Pós-Graduação em Economia
  • Wilson Luiz Rotatori Corrêa UFJF; Curso de Mestrado em Economia Aplicada

DOI:

https://doi.org/10.1590/S1413-80502011000200003

Keywords:

Monetary Policy, Taylor Rule, Nonstationary Discrete Approach

Abstract

In this paper we do follow a non-stationary discrete approach to model the baseline rate in Brazil. The paper innovates in approaching the decisions in terms of a hike, maintenance or cut in the baseline rate rather than assume that it follows a continuous path. Our model seems to be parsimonious and forecast correctly 83% of the actual Copom decisions. The estimated parameters define a threshold to the Copom actions which is asymmetric, but finds no significant differences between high and low thresholds.

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Published

2011-06-01

Issue

Vol. 15 No. 2 (2011)

Section

Papers

How to Cite

Caetano, S. M., Silva Jr, G. E., & Corrêa, W. L. R. (2011). Abordagem discreta para a dinâmica da taxa Selic-meta. Economia Aplicada, 15(2), 199-221. https://doi.org/10.1590/S1413-80502011000200003