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Characterising the Brazilian term structure of interest rates

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Author Info
Osmani Teixeira De Carvalho Guillen
Benjamin M. Tabak

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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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Publisher Info
Article provided by Inderscience Enterprises Ltd in its journal International Journal of Monetary Economics and Finance.

Volume (Year): 2 (2009)
Issue (Month): 2 (January)
Pages: 103-114
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Handle: RePEc:mes:ijmefi:v:2:y:2009:i:2:p:103-114

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

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References listed on IDEAS
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  6. Lima, Alexandre Maia Correia & Issler, João Victor, 2003. "A hipótese das expectativas na estrutura a termo de juros no Brasil: Uma aplicação de modelos de valor presente," Economics Working Papers (Ensaios Economicos da EPGE) 480, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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  7. Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-82, April.
    Other versions:
  8. Arusha Cooray, 2003. "A test of the expectations hypothesis of the term structure of interest rates for Sri Lanka," Applied Economics, Taylor and Francis Journals, vol. 35(17), pages 1819-1827, November. [Downloadable!] (restricted)
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  12. Tom Engsted & Ken Nyholm, 2000. "Regime shifts in the Danish term structure of interest rates," Empirical Economics, Springer, vol. 25(1), pages 1-13. [Downloadable!] (restricted)
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  14. Bevilaqua, Afonso S & Garcia, Marcio G P, 2002. "Debt Management in Brazil: Evaluation of the Real Plan and Challenges Ahead," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(1), pages 15-35, January. [Downloadable!] (restricted)
    Other versions:
  15. Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May. [Downloadable!]
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  16. Markku Lanne, 2003. "Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift," Manchester School, University of Manchester, vol. 71(Supplemen), pages 54-67, 09. [Downloadable!] (restricted)
    Other versions:
  17. Eduardo J. A. Lima & Felipe Luduvice & Benjamin M. Tabak, 2006. "Forecasting Interest Rates: an application for Brazil," Working Papers Series 120, Central Bank of Brazil, Research Department. [Downloadable!]
  18. Victorio Y. T. Chu & Márcio I. Nakane, 2001. "Credit Channel without the LM Curve," Working Papers Series 20, Central Bank of Brazil, Research Department. [Downloadable!]
  19. Mirta Noemí Sataka Bugarin & Roberto de Goes Ellery Jr. & Victor Gomes Silva & Marcelo Kfoury Muinhos, 2005. "Steady State Analysis of an Open Economy General Equilibrium Model for Brazil," Working Papers Series 92, Central Bank of Brazil, Research Department. [Downloadable!]
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  22. Sarno, Lucio & Thornton, Daniel L. & Valente, Giorgio, 2007. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(01), pages 81-100, March. [Downloadable!]
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  23. Arielle Beyaert, Juan J. P rez-Castej, 2000. "Switching regime models in the Spanish inter-bank market," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 93-112, June. [Downloadable!] (restricted)
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  25. Sharon Kozicki & P.A. Tinsley, 2002. "Term premia : endogenous constraints on monetary policy," Research Working Paper RWP 02-07, Federal Reserve Bank of Kansas City. [Downloadable!]
  26. Toni Gravelle & James C. Morley, 2005. "A Kalman filter approach to characterizing the Canadian term structure of interest rates," Applied Financial Economics, Taylor and Francis Journals, vol. 15(10), pages 691-705, June. [Downloadable!] (restricted)
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  29. Theodore M. Barnhill & Marcos R. Souto & Benjamin M. Tabak, 2006. "An Analysis of Off-Site Supervision of Banks' Profitability, Risk and Capital Adequacy: a portfolio simulation approach applied to brazilian banks," Working Papers Series 117, Central Bank of Brazil, Research Department. [Downloadable!]
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This page was last updated on 2009-11-22.

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