Brazilian Monetary Policy Analysis
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In the project, I analyzed Brazilian Monetary Policy, more specifically, the SELIC (Brazilian Short-term Interest Rate) using ARMA(p,q) models, as well as VAR(p), in a Taylor Rule approach to VAR, using GDP gap and Inflation deviation from its target. Results show that GDP gap and Inflation deviation from its target don`t reflect well variations on Short-term Interest Rate, reflecting highly discretionary character of contemporary Monetary Policy in Brazil.
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