Nonlinearities and Price Puzzle in Brazil

What is called a price puzzle is a positive and persistent response of ination to a unit shock in the interest rate's innovation. Using a VAR to analyse monetary policy in Brazil, this paper comes to the conclusion that when nonlinearities in the data were considered, most of this e_ect vanishes. This is done _rstly by checking if the series are unit root processes or nonlinear trend stationary. After that a nonparametric co-trending analysis was applied. The test result favored a common nonlinear trend between ination and the interest rate, which seems to a_ect the system innovation analysis, inducing most of the price puzzle e_ect.Monetary Policy, Nonlinearities, Nonlinear Trend, Co-Trending, Common Treds, Price Puzzle

Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models

This paper uses linear and non-linear diffusion index models and combination of them to produce one-step-ahead forecast of quarterly Brazilian GDP growth rate. The non-linear diffusion index models are not only parsimonious ones, but they also purport to describe economic cycles through a Threshold diffusion index model and a Markov-Switching diffusion index model.Forecasting, Brazilian GDP, Diffusion Index, Threshold, Markov-Switching