An Empirical Analysis of Long-Term Brazilian Interest Rates

Levy Economics Institute, Working Papers Series, 2020

44 Pages Posted: 15 Jun 2020

Date Written: May 19, 2020


This paper empirically models the dynamics of Brazilian government bond (BGB) yields based on monthly macroeconomic data in the context of the evolution of Brazil’s key macroeconomic variables. The results show that the current short-term interest rate has a decisive influence on BGBs’ long-term interest rates after controlling for various key macroeconomic variables, such as inflation and industrial production or economic activity. These findings support John Maynard Keynes’s claim that the central bank’s actions influence the long-term interest rate on government bonds mainly through the short-term interest rate. These findings have important policy implications for Brazil. This paper relates the findings of the estimated models to ongoing debates in fiscal and monetary policies.

Keywords: Brazilian Government Bonds, Long-Term Interest Rate, Bond Yields, Monetary Policy, Short-Term Interest Rate, Banco Central do Brasil (BCB)

JEL Classification: E43, E50, E58, E60, G10, G12

Suggested Citation

Akram, Tanweer and Uddin, Syed, An Empirical Analysis of Long-Term Brazilian Interest Rates (May 19, 2020). Levy Economics Institute, Working Papers Series, 2020, Available at SSRN: or

Tanweer Akram (Contact Author)

General Motors ( email )

300 Renaissance Center
Detroit, MI 48243

Syed Uddin

College of Saint Benedict ( email )

37 College Avenue S, Main # 335
St Joseph, MN 56374
United States
3203635244 (Phone)

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