Varmax
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1. Análise e previsão dos recolhimentos compulsórios sobre recursos à vista / Analysis and Forecast of Reserve Requirements
This dissertation discusses the reserves requirements in Brazil. It analyses and forecasts the top five time series that form these requirements. A VARMAX model with autoregressives lags, moving averages and exogenous variables is used. The interest rate Selic, exchange rate BRL/USD, commerce sales, consumption and income are the exogenous variables. A BEKK
Publicado em: 2008