Economic analysis for uni and multivariate models: the application in the process for determining the Brazilian rate of interest goa

Authors

  • Ricardo Ramalhete moreira UFES
  • Edson Zambon Monte UFES

Keywords:

Taxa Selic, Política Monetária, ARMA, Mínimos Quadrados Ordinários

Abstract

It presents the Brazilian basic interest rate process as a means of applyingmultivariate and univariate methodologies. By using monthly data for industrial production,inflation, inflation expectations and Selic (basic) interest rates, from January/2005 toJune/2010, it shows that the estimated (multivariate) monetary policy rules, although withoptimal adherence to the observations, have lower quality than the estimated Auto-RegressiveMoving Averages (ARMA) models. Moreover, these last models avoid theoretical controversiesand operational difficulties, as they are built from the own time series under analysis.

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Author Biographies

Ricardo Ramalhete moreira, UFES

Doutor em Economia pelo Instituto de Economia da UFRJ. Professor no Programa de Pós-Graduação em Economia da UFES

Edson Zambon Monte, UFES

Professor no Departamento de Economia da UFES.

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Published

2012-12-20

How to Cite

moreira, R. R., & Monte, E. Z. (2012). Economic analysis for uni and multivariate models: the application in the process for determining the Brazilian rate of interest goa. Research &Amp; Debate Journal of the Postgraduate Program in Political Economy, 23(2(42). Retrieved from https://revistas-anterior.pucsp.br/index.php/rpe/article/view/13071

Issue

Vol. 23 No. 2(42) (2012)

Section

Papers