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.

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.pucsp.br/index.php/rpe/article/view/13071

Issue

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

Section

Papers