International interest rate comovements and monetary policy in Bazil

Authors

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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Published

2024-07-02

How to Cite

da Costa Campo, R. H. ., & Tatiwa Ferreira, R. (2024). International interest rate comovements and monetary policy in Bazil. Estudios económicos, 41(83), 211–239. https://doi.org/10.52292/j.estudecon.2024.3595

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