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Characterising the Brazilian term structure of interest rates

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  • Osmani Teixeira De Carvalho Guillen
  • Benjamin M. Tabak

Abstract

This paper studies the Brazilian term structure of interest rates and characterises how the term premia have changed over time. We employ a Kalman filter approach, which is extended to take into account regime switches and overlapping forecasts errors. Empirical evidence suggests that term premia depend on international global liquidity and domestic factors such as the composition of public debt and inflation volatility. These results provide important guidance for the formulation of fiscal and monetary policies.

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Bibliographic Info

Article provided by Inderscience Enterprises Ltd in its journal Int. J. of Monetary Economics and Finance.

Volume (Year): 2 (2009)
Issue (Month): 2 ()
Pages: 103-114

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Handle: RePEc:ids:ijmefi:v:2:y:2009:i:2:p:103-114

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Web page: http://www.inderscience.com/browse/index.php?journalID=218

Related research

Keywords: Brazil; term structure; interest rates; term premia; fiscal policy; monetary policy; regime switching; Kalman filter.;

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Cited by:
  1. Saltoglu, Burak & Yazgan, Ege, 2009. "The role of Regime Shifts in the Term Structure of Interest Rates: Further evidence from an Emerging Market," MPRA Paper 18741, University Library of Munich, Germany.
  2. Marçal, Emerson Fernandes & Valls Pereira, Pedro L., 2012. "Evaluating the existence of structural change in the brazilian term structure of interest : evidence based on cointegration models with structural break," Textos para discussão 314, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

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