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Title: analysis of term structure of interest rates in Latin America countries from 2006 to 2014

Author

Listed:
  • Felipe Stona

    (Universidade do Vale do Rio dos Sinos)

  • Jean Amann

    (Mestrando em Economia pelo Programa de Pós-Graduação em Economia (PPGE) da Universidade do Vale do Rio dos Sinos (UNISINOS))

  • Maurício Delago Morais

    (Unisinos)

  • Divanildo Triches
  • Igor Clemente Morais

Abstract

This article aims to investigate the relationship between the term structure of interest rates and macroeconomic factors in selected countries of Latin America, such as Brazil, Chile and Mexico, between 2006 and 2014, on an autoregressive vector model. Specifically, we perform estimations of Nelson-Siegel, Diabold-Li and principal component analysis to test how the change of macroeconomic factors, e.g. inflation, production and unemployment levels affect the yield curves. For Brazil and Mexico, GDP and inflation variables are relevant to change the yield curves, with the former shifting more the level, and the latter with greater influence on the slope. For Chile, inflation had the greatest impact on the level and, specifically for Mexico, the unemployment variable also changed the slope of the yield curve.

Suggested Citation

  • Felipe Stona & Jean Amann & Maurício Delago Morais & Divanildo Triches & Igor Clemente Morais, 2015. "Title: analysis of term structure of interest rates in Latin America countries from 2006 to 2014," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(4), pages 650-690.
    • Handle: RePEc:brf:journl:v:13:y:2015:i:4:p:650-690
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    More about this item

    Keywords

    Interest rates; Term structure; Nelson-Siegel; Diebold-Li; Principal component analysis;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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