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The Economic Determinants of the Brazilian Nominal Term Structure of Interest Rates


Denisard C. O. Alves Sr.


University of Sao Paulo (USP)

Rodrigo Sekkel


Johns Hopkins University - Department of Economics

October 1, 2006

Applied Economics, Vol. 42, No. 1, pp.1-10, January 2010
Colorado College Working Paper 2006-06

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.

Number of Pages in PDF File: 33

Keywords: term structure, Brazil, interest, VAR, monetary policy

JEL Classification: E43, E40

working papers series





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Date posted: November 7, 2006 ; Last revised: October 19, 2010

Suggested Citation

Alves, Denisard C. O. and Sekkel, Rodrigo, The Economic Determinants of the Brazilian Nominal Term Structure of Interest Rates (October 1, 2006). Colorado College Working Paper 2006-06. Available at SSRN: http://ssrn.com/abstract=942808 or http://dx.doi.org/10.2139/ssrn.942808

Contact Information

Denisard C. O. Alves Sr. (Contact Author)
University of Sao Paulo (USP) ( email )
Sao Paolo, 05508-010
Brazil
Rodrigo Sekkel
Johns Hopkins University - Department of Economics ( email )
3400 Charles Street
Baltimore, MD 21218-2685
United States
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