What Drives Long Term Real Interest Rates in Brazil?

Detalhes bibliográficos
Autor(a) principal: Costa Filho, Adonias Evaristo da
Data de Publicação: 2017
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: BBR. Brazilian Business Review (English edition. Online)
Texto Completo: http://www.bbronline.com.br/index.php/bbr/article/view/72
Resumo: This paper investigates the drivers of long term real interest rates in Brazil. It is shown that long term yield on inflation linked bonds are driven by yields on 10 year interest rates of United States (US) government bonds and 10 year risk premium, as measured by the Credit Default Swap (CDS). Long term interest rates in Brazil were on a downward trend, following US real rates and stable risk premium, until the taper tantrum in the first half of 2013. From then onwards, real interest rates rose due to the increase in US real rates in anticipation of the beginning of monetary policy normalization and, more recently, due to a sharp increase in Brazilian risk premium. Policy interest rates do not significantly affect long term real interest rates.
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spelling What Drives Long Term Real Interest Rates in Brazil?O Que Determina a Taxa de Juros Real de Longo Prazo no Brasil?Interest ratesRisk premiumMonetary policyTaperingTaxas de jurosPrêmio de riscoPolítica monetáriaTaperingThis paper investigates the drivers of long term real interest rates in Brazil. It is shown that long term yield on inflation linked bonds are driven by yields on 10 year interest rates of United States (US) government bonds and 10 year risk premium, as measured by the Credit Default Swap (CDS). Long term interest rates in Brazil were on a downward trend, following US real rates and stable risk premium, until the taper tantrum in the first half of 2013. From then onwards, real interest rates rose due to the increase in US real rates in anticipation of the beginning of monetary policy normalization and, more recently, due to a sharp increase in Brazilian risk premium. Policy interest rates do not significantly affect long term real interest rates.Este artigo investiga os determinantes da taxa de juros real de longo prazo no Brasil. É mostrado que as taxas dos títulos indexados à inflação de longo prazo são movidas pelas taxas de juros de 10 anos dos títulos americanos indexados à inflação, e pelo prêmio de risco, medido pelo CDS de 10 anos. As taxas de juros de longo prazo estavam em uma trajetória declinante, seguindo a trajetória dos juros reais americanos e a estabilidade do prêmio de risco até o episódio do “taper tantrum” na primeira metade de 2013. Desde então, a taxa de juros real de longo prazo do Brasil tem subido, em parte por conta da alta dos juros reais americanos, em antecipação à normalização monetária, e, mais recentemente, por conta de uma forte alta do prêmio de risco. A taxa de juros real de política, medida pela taxa Selic deflacionada pela expectativa de inflação para 12 meses à frente, não afeta significativamente a taxa de juros real de longo prazo.FUCAPE Business Shool2017-11-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/7210.15728/bbr.2017.14.6.5Brazilian Business Review; Vol. 14 No. 6 (2017): November to December 2017; 624-635Brazilian Business Review; v. 14 n. 6 (2017): Novembro a Dezembro de 2017; 624-6351808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/72/114http://www.bbronline.com.br/index.php/bbr/article/view/72/115Costa Filho, Adonias Evaristo dainfo:eu-repo/semantics/openAccess2018-10-31T19:02:19Zoai:ojs.pkp.sfu.ca:article/72Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-10-31T19:02:19BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv What Drives Long Term Real Interest Rates in Brazil?
O Que Determina a Taxa de Juros Real de Longo Prazo no Brasil?
title What Drives Long Term Real Interest Rates in Brazil?
spellingShingle What Drives Long Term Real Interest Rates in Brazil?
Costa Filho, Adonias Evaristo da
Interest rates
Risk premium
Monetary policy
Tapering
Taxas de juros
Prêmio de risco
Política monetária
Tapering
title_short What Drives Long Term Real Interest Rates in Brazil?
title_full What Drives Long Term Real Interest Rates in Brazil?
title_fullStr What Drives Long Term Real Interest Rates in Brazil?
title_full_unstemmed What Drives Long Term Real Interest Rates in Brazil?
title_sort What Drives Long Term Real Interest Rates in Brazil?
author Costa Filho, Adonias Evaristo da
author_facet Costa Filho, Adonias Evaristo da
author_role author
dc.contributor.author.fl_str_mv Costa Filho, Adonias Evaristo da
dc.subject.por.fl_str_mv Interest rates
Risk premium
Monetary policy
Tapering
Taxas de juros
Prêmio de risco
Política monetária
Tapering
topic Interest rates
Risk premium
Monetary policy
Tapering
Taxas de juros
Prêmio de risco
Política monetária
Tapering
description This paper investigates the drivers of long term real interest rates in Brazil. It is shown that long term yield on inflation linked bonds are driven by yields on 10 year interest rates of United States (US) government bonds and 10 year risk premium, as measured by the Credit Default Swap (CDS). Long term interest rates in Brazil were on a downward trend, following US real rates and stable risk premium, until the taper tantrum in the first half of 2013. From then onwards, real interest rates rose due to the increase in US real rates in anticipation of the beginning of monetary policy normalization and, more recently, due to a sharp increase in Brazilian risk premium. Policy interest rates do not significantly affect long term real interest rates.
publishDate 2017
dc.date.none.fl_str_mv 2017-11-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/72
10.15728/bbr.2017.14.6.5
url http://www.bbronline.com.br/index.php/bbr/article/view/72
identifier_str_mv 10.15728/bbr.2017.14.6.5
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/72/114
http://www.bbronline.com.br/index.php/bbr/article/view/72/115
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FUCAPE Business Shool
publisher.none.fl_str_mv FUCAPE Business Shool
dc.source.none.fl_str_mv Brazilian Business Review; Vol. 14 No. 6 (2017): November to December 2017; 624-635
Brazilian Business Review; v. 14 n. 6 (2017): Novembro a Dezembro de 2017; 624-635
1808-2386
1807-734X
reponame:BBR. Brazilian Business Review (English edition. Online)
instname:Fucape Business School (FBS)
instacron:FBS
instname_str Fucape Business School (FBS)
instacron_str FBS
institution FBS
reponame_str BBR. Brazilian Business Review (English edition. Online)
collection BBR. Brazilian Business Review (English edition. Online)
repository.name.fl_str_mv BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)
repository.mail.fl_str_mv || bbronline@bbronline.com.br
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