IDEAS home Printed from https://ideas.repec.org/h/eme/csefzz/s1569-3759(2011)0000093020.html
   My bibliography  Save this book chapter

Macroeconomic Dynamics and the Term Structure of Interest Rates in Emerging Markets

In: The Impact of the Global Financial Crisis on Emerging Financial Markets

Author

Listed:
  • Samer Shousha

Abstract

In this chapter I characterize the relationship between macroeconomic variables and the terms structure of interest rates using the recent macro-finance approach adapted to the case of an emerging economy and applying it to Brazil. I find that macro variables help to explain the dynamics of the yield curve in emerging markets, specially in periods of high volatility. Moreover, the notion of great external vulnerability of emerging economies is confirmed by the strong role of the nominal exchange rate change, which explains up to 37% of the variation in yields in Brazil. However, the model does a poor job in forecasting yields during the financial crisis of 2008. This fact seems to be related to the strong fall in international commodity and industrial goods prices (in dollar terms), which limited the passthrough from the strong depreciation of the exchange rate to inflation.

Suggested Citation

  • Samer Shousha, 2011. "Macroeconomic Dynamics and the Term Structure of Interest Rates in Emerging Markets," Contemporary Studies in Economic and Financial Analysis, in: The Impact of the Global Financial Crisis on Emerging Financial Markets, pages 547-579, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:csefzz:s1569-3759(2011)0000093020
    DOI: 10.1108/S1569-3759(2011)0000093020
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1569-3759(2011)0000093020/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1569-3759(2011)0000093020/full/epub?utm_source=repec&utm_medium=feed&utm_campaign=repec&title=10.1108/S1569-3759(2011)0000093020
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1569-3759(2011)0000093020/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/S1569-3759(2011)0000093020?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:csefzz:s1569-3759(2011)0000093020. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.