Moreira, Ricardo Ramalhete; Chaiboonsri, Chukiat; … - In: International Journal of Monetary Economics and Finance 7 (2014) 1, pp. 1-12
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...
