International interest rate comovements and monetary policy in Bazil

Rodolfo Herald  da Costa Campo; Roberto Tatiwa Ferreira

doi:10.52292/j.estudecon.2024.3595

Authors

Rodolfo Herald da Costa Campo State’s University of Rio Grande do Norte, Brazil https://orcid.org/0000-0003-1335-9226
Roberto Tatiwa Ferreira Federal University of Ceará, Brazil https://orcid.org/0000-0002-2529-686X

DOI:

https://doi.org/10.52292/j.estudecon.2024.3595

Keywords:

Comovements, Dynamic factor model, Taylor rules, Monetary policy

Abstract

This article shows that international spillovers or coordination in central bank interest rate setting are significant components of the Brazilian Taylor rule. For this, the short-term interest rate comovements of 28 countries and Euribor were estimated through a dynamic factor model. A nonlinear reaction function for the Central Bank of Brazil that includes global and regional factors evidenced that monetary policy in Brazil is influenced by the policy of other broad groups of countries and not just the United States and the Eurozone.

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References

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