Previsão da taxa de juros nominal no Brasil: uma avaliação comparativa entre curva de reação, modelos ARMA e VAR / An assessment of the performance of the central banks reaction function, ARMA and VAR models to forecast the nominal interest rate in Brazil

AUTOR(ES)

Eduardo José Ferreira Jarra

DATA DE PUBLICAÇÃO

2008

RESUMO

This work studies alternative econometric specifications potentially suitable for forecasting the nominal interest rate in Brazil. The group of evaluated models includes the Central Bank reaction function, a univariate time-series model and four different VAR specifications. The results show that the reaction function and the univariate time-series model present the better forecasts for the short (three and six months) and the medium term (twelve months), although it is not possible to distinguish which one is the best. For all periods, VAR models present worse predictions compared to alternative models

ASSUNTO(S)

juros curva de reação modelo univariado de séries temporais var interest rates previsão economia var reaction function forecasting univariate time-series model

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