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Collection: Faculty Working Papers  
 
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
 
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EconomicDeterminantsBrazilian.pdf   master application/pdf 1.11MB 0

 
 
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Created: Thu, 14 Jan 2010, 14:30:13 MST by Christine Ashlock (admin) . Detailed History