In the beginning of 1995, continuing the process of inflation combat, the exchange rate regime adopted was a Crawling Peg. Thus, the monetary policy should have been passive and the fiscal policy would have been directed to control the aggregate demand, affecting the price level stability. However, Salgado, Garcia e Medeiros (2005) find strong evidences in Brazilian data that the monetary policy was used to control inflation, compensating the loose fiscal policy implemented by the Central Government, using a TAR Model (Threshold Autoregressive Model). The specification proposed by the authors consists in an estimation of two independent linear models for different states of the nature (crises or not crises). An observable variable (the accumulated changes in the International Reserve) determines the crises periods. Here we estimate a model where the dynamic of the nominal interest rate follows a Markov Switching process and the regimes are unobservable variables. Furthermore, we try to handle the possible problem of endogenity. Finally, we motivate the estimations analyzing models where the theoretical dynamics of the economy are compatible with a nonlinear interest rate rule. Our results are quiet satisfactory.