1. An Empirical Analysis of Long-Term Brazilian Interest Rates
- Author
-
Tanweer Akram and Syed Al-Helal Uddin
- Subjects
Inflation ,Macroeconomics ,Evolutionary Processes ,Economics ,Science ,media_common.quotation_subject ,Industrial production ,Social Sciences ,Public Policy ,Context (language use) ,Geographical locations ,Monetary Policy ,Financial Markets ,media_common ,Evolutionary Biology ,Government ,Multidisciplinary ,Models, Statistical ,Inflation Rates ,Bond ,Monetary policy ,Commerce ,Biology and Life Sciences ,South America ,Models, Theoretical ,Term (time) ,Interest rate ,Models, Economic ,Public Finance ,Inflation, Economic ,Money Supply and Banking ,Government bond ,Evolutionary Rate ,Medicine ,People and places ,Brazil ,Finance ,Research Article - Abstract
This paper empirically models the dynamics of Brazilian government bond (BGB) yields based on monthly macroeconomic data, in the context of the evolution of the key macroeconomic variables in Brazil. The results show that the current short-term interest rate has a decisive influence on the long-term interest rate on BGBs, after controlling for various key macroeconomic variables, such as inflation and industrial production. These findings support John Maynard Keynes’s claim that the central bank’s actions influence the long-term interest rate on government bonds mainly through the current short-term interest rate. These findings have important policy implications for Brazil. This paper relates the findings of the estimated models to ongoing debates in fiscal and monetary policies.
- Published
- 2020