Analysing monetary policy's transmission mechanisms through effective and expected interest rates: An application of MS-models, Bayesian VAR and cointegration approaches for Brazil

• Main Authors: Moreira R.R., Chaiboonsri C., Chaitip P.
• Format: Article
• Language: English
• Published: Inderscience Publishers 2014
• Online Access: http://www.scopus.com/inward/record.url?eid=2-s2.0-84905221862&partnerID=40&md5=b4c7ee21b33651894036077dd23aec2c; http://cmuir.cmu.ac.th/handle/6653943832/37577
• Institution: Chiang Mai University

This work applies Markov-switching models, a Bayesian vector autoregressive (BVAR) and Cointegration approach to verify the empirical relationships between expected and effective short-term interest rates in Brazil. The main results corroborate the theoretical notion that the Central Bank can smooth...