Brazilian Monetary Policy Analysis

Brazilian Monetary Policy - ARMA andTaylor Rule (VAR)

Brazilian Monetary Policy – ARMA andTaylor Rule (VAR)

For the presentation and graphs, click on the link above. For the text and discussions, click on the link below.

Brazilian Monetary Policy – ARMA andTaylor Rule (VAR) Project

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.

If you have any further comments, or wish to contact me, please do so, either on this website or through the e-mail contained in the presentation.

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