This paper investigates the relationship between interest rate and volatility of real effective exchange rate in Brazil. Through a simultaneous multivariate GARCH model, which allows estimating equations for the mean and variance in a single stage, it was observed that: it’s not possible to...

This paper attempts to extend empirical investigations about the asymmetric effects of monetary shocks in the Brazilian economy. We specify and estimate a nonlinear smooth transition vector autoregressive model including output, price level, exchange rate and a monetary policy indicator (Selic...

This paper attempts to extend empirical investigations about the asymmetric effects of monetary shocks in the Brazilian economy. We specify and estimate a nonlinear smooth transition vector autoregressive model including output, price level, exchange rate and a monetary policy indicator (Selic...