Relationship between Selic rate and Basel III parameters - A statistics approach and a fuzzy forecasting model

Abstract

In this work the relationship between the Selic rate and some bank parameters defined by the so-called Basel Accords is studied. The cross-correlation between the Selic rate and the parameters is used to explain how these parameters affect the Selic rate and vice-versa so as to define the predictability of the Selic rate using (some of) these parameters as inputs. A model is then proposed for predicting the Selic rate based on some specific parameters using fuzzy logic ideas, which dealt with a partitioning of the universe of discourse using clusters related to the output data distribution. The proposed model is compared to four other known models in the literature and showed to have better performance in average compared to all other models.