| Title |
The Economic Determinants of the Brazilian Nominal Term Structure of Interest Rates
|
| Author |
Sekkel, Rodrigo
Alves, Denisard
|
| Type of Resource |
text
|
| Digital Origin |
born digital
|
| Date Created |
2006-10
|
| Abstract |
The purpose of this study is to identify the effects of monetary policy and macroeconomic shocks on the dynamics of the Brazilian term structure of interest rates. We estimate a near-VAR model under the identification scheme proposed by Christiano et al. (1996, 1999). The results resemble those of the US economy: monetary policy shocks flatten the term structure of interest rates. We find that monetary policy shocks in Brazil explain a significantly larger share of the dynamics of the term structure than in the USA. Finally, we analyze the importance of standard macroeconomic variables (e.g., GDP, inflation, and measure of country risk) to the dynamics of the term structure in Brazil.
|
| Keywords |
term structure
Brazil
interest
VAR
monetary policy
|
| Rights Statement |
Copyright restrictions apply. Contact the author for permission to publish.
|
| Note (admin) |
Acquired as PDF from Colorado College Department of Economics and Business. Converted to PDF/A1.b using Adobe Acrobat Professional.
|
| Publisher |
Colorado College
|
| Place of Publication |
Colorado Springs, Colorado
|
| Local Identifier |
2006-06
|
| Handle |
http://hdl.handle.net/10176/coccc:2622
|
