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Characterising the Brazilian term structure of interest rates

  • Osmani Teixeira De Carvalho Guillen
  • Benjamin M. Tabak

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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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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