The Economic Determinants of the Brazilian Nominal Term Structure of Interest Rates
Denisard C. O. Alves Sr.
University of Sao Paulo (USP)
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
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
Date posted: November 7, 2006 ; Last revised: October 19, 2010