International interest rate comovements and monetary policy in Bazil

Rodolfo Herald  da Costa Campo; Roberto Tatiwa Ferreira

doi:10.52292/j.estudecon.2024.3595

Autores

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

Palavras-chave:

Comovements, Dynamic factor model, Taylor rules, Monetary policy

Resumo

Este artigo mostra que spillovers internacionais ou a coordenação no ajuste das de taxas de juros dos banco centrais são componentes significativos da regra de Taylor brasileira. Para tal, são estimados os comovimentos das taxas de juro de curto prazo de 28 países e da Euribor através de um modelo de fatores dinâmicos. Uma função de reação não linear para o Banco Central do Brasil que inclui fatores globais e regionais fornece evidências de que a política monetária no Brasil é influenciada pela política de outros grupos amplos de países e não apenas dos EUA e da Zona do Euro

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