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International interest rate comovements and monetary policy in Bazil
[Comovimentos de taxas de juros internacionais e politica monetaria no Brasil]

Author

Listed:
  • Rodolfo Herald da Costa Campo
  • Roberto Tatiwa Ferreira

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.

Suggested Citation

  • Rodolfo Herald da Costa Campo & Roberto Tatiwa Ferreira, 2024. "International interest rate comovements and monetary policy in Bazil [Comovimentos de taxas de juros internacionais e politica monetaria no Brasil]," Estudios Economicos, Universidad Nacional del Sur, Departamento de Economia, vol. 41(83), pages 211-239, july-dece.
    • Handle: RePEc:uns:esteco:v:41:y:2024:i:83:p:211-239
    DOI: https://doi.org/10.52292/j.estudecon.2024.3595
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    File URL: https://revistas.uns.edu.ar/ee/article/view/3595/2702
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    More about this item

    Keywords

    comovements; dynamic factor model; Taylor rules; monetary policy;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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