Characterizing the Brazilian Term Structure of Interest Rates

Osmani Guillén and Benjamin Tabak

No 158, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper studies the Brazilian term structure of interest rates and characterizes how the term premia has 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 depends on international global liquidity and domestic factors such as the composition of public debt and inflation volatility. These results provide guidance for the formulation of fiscal and monetary policies.

Date: 2008-02
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Related works:
Journal Article: Characterising the Brazilian term structure of interest rates (2009)
Working Paper: CHARACTERIZING THE BRAZILIAN TERM STRUCTURE OF INTEREST RATES (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:158

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