English, Article, Journal or magazine article edition: THE ECONOMIC DETERMINANTS OF THE BRAZILIAN TERM STRUCTURE OF INTEREST RATES Rodrigo Sekkel; Denisard Alves

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Bookmark: http://trove.nla.gov.au/version/123552
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • THE ECONOMIC DETERMINANTS OF THE BRAZILIAN TERM STRUCTURE OF INTEREST RATES
Author
  • Rodrigo Sekkel
  • Denisard Alves
Physical Description
  • preprint
Notes
  • The purpose of the present 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 under the identification scheme proposed by Christiano et al. (1996, 1999). The results resemble that of the US economy: monetary policy shocks flatten the term structure of interest rates. Nevertheless, we find that monetary policy shocks in Brazil appear to explain a significant larger share of the dynamics of the term structure than in the USA. Finally, we also study the importance of standard macroeconomic variables, as GDP, inflation and specially, a measure of country risk for the dynamics of the term structure in Brazil. The empirical evidence allows us to infer that as the Brazilian term structure of interest rates increase its maturities, the more important will macroeconomic shocks be to its determination.
  • RePEc:anp:en2005:027
Language
  • English
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