Determinantes macroeconômicos da estrutura a termo da taxa de juros na América Latina
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/15716 |
Resumo: | The paper proposes a three-factor model based on Huse (2007) methodology to relate observable macroeconomic and financial variables with the term structure of interest rates in Latin America (Brazil, Chile, Colombia and Mexico). We control for inflation rate, activity growth rate, exchange rate variation, credit default swaps (CDS), unemployment rate, and nominal interest rates as well as global factors such as the slope of the US yield curve and changes in commodity prices. The models explain more than 75% of the movements in the term structure of interest rates of Brazil, Chile and Colombia and 65% of Mexico. Positive changes in real activity and in inflation result in increases in the term structure. With exception to Chile, a rise in CDS leads to increases in the long-term interest rates. Increases in the unemployment rate have different effects on countries. In sum, exchange rate depreciations do not lead to increases in interest rates. This is probably due to central banks considering the effect of exchange rate depreciation on inflation to be transitory. In Mexico, interest rates also increase with the energy and metal prices. Brazilian energy prices are regulated, so it is not surprising that they do not have any impact on interest rates. Positive changes in the slope of the US yield curve affect similarly the slope of the yield curves in Latin America, reducing the short rates at the same time they increase long rates. |
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Andrade, Bruno Ferraz deEscolas::EESPNunes, Clemens V. de AzevedoLyrio, MarcoFernandes, Marcelo2016-03-08T11:18:06Z2016-03-08T11:18:06Z2016-02-12ANDRADE, Bruno Ferraz de. Determinantes macroeconômicos da estrutura a termo da taxa de juros na América Latina. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016.http://hdl.handle.net/10438/15716The paper proposes a three-factor model based on Huse (2007) methodology to relate observable macroeconomic and financial variables with the term structure of interest rates in Latin America (Brazil, Chile, Colombia and Mexico). We control for inflation rate, activity growth rate, exchange rate variation, credit default swaps (CDS), unemployment rate, and nominal interest rates as well as global factors such as the slope of the US yield curve and changes in commodity prices. The models explain more than 75% of the movements in the term structure of interest rates of Brazil, Chile and Colombia and 65% of Mexico. Positive changes in real activity and in inflation result in increases in the term structure. With exception to Chile, a rise in CDS leads to increases in the long-term interest rates. Increases in the unemployment rate have different effects on countries. In sum, exchange rate depreciations do not lead to increases in interest rates. This is probably due to central banks considering the effect of exchange rate depreciation on inflation to be transitory. In Mexico, interest rates also increase with the energy and metal prices. Brazilian energy prices are regulated, so it is not surprising that they do not have any impact on interest rates. Positive changes in the slope of the US yield curve affect similarly the slope of the yield curves in Latin America, reducing the short rates at the same time they increase long rates.O trabalho relaciona, com um modelo de três fatores proposto por Huse (2007), variáveis macroeconômicas e financeiras observáveis com a estrutura a termo da taxa de juros (ETTJ) dos países da América Latina (Brasil, Chile, Colômbia e México). Consideramos os seguintes determinantes macroeconômicos: taxa de inflação, taxa de variação do nível de atividade, variação da taxa de câmbio, nível do credit default swaps (CDS), nível da taxa de desemprego, nível da taxa de juros nominal e fatores globais (inclinação da curva de juros norte-americana e variação de índices de commodities). Os modelos explicam mais do que 75% nos casos do Brasil, Chile e Colômbia e de 68% no caso do México. Variações positivas no nível de atividade e inflação são acompanhadas, em todos os países, de um aumento na ETTJ. Aumentos do CDS, com exceção do Chile, acarretam em aumento das taxas longas. Já crescimentos na taxa de desemprego têm efeitos distintos nos países. Ao mesmo tempo, depreciações cambiais não são acompanhadas de subida de juros, o que pode ser explicado pelos bancos centrais considerarem que depreciações de câmbio tem efeitos transitórios na inflação. No México, aumentos na ETTJ são diretamente relacionados com o índice de commodities de energia e metálicas. Já no caso brasileiro, em que os preços da gasolina são regulados e não impactam a inflação, esse canal não é relevante. Variações positivas na inclinação da curva norte-americana têm efeitos similares nas curvas da América Latina, reduzindo as taxas curtas e aumentando as taxas longas.porTaxa de jurosEconomiaPolítica monetária - América LatinaMacroeconomiaDeterminantes macroeconômicos da estrutura a termo da taxa de juros na América Latinainfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTese_Bruno_Ferraz_de_Andrade.pdfTese_Bruno_Ferraz_de_Andrade.pdfapplication/pdf863597https://repositorio.fgv.br/bitstreams/b98f6999-019a-477f-8430-17963340bacb/download5a97d1bb19fc4cce2f436aa990dac5b2MD53LICENSElicense.txtlicense.txttext/plain; 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|
dc.title.por.fl_str_mv |
Determinantes macroeconômicos da estrutura a termo da taxa de juros na América Latina |
title |
Determinantes macroeconômicos da estrutura a termo da taxa de juros na América Latina |
spellingShingle |
Determinantes macroeconômicos da estrutura a termo da taxa de juros na América Latina Andrade, Bruno Ferraz de Taxa de juros Economia Política monetária - América Latina Macroeconomia |
title_short |
Determinantes macroeconômicos da estrutura a termo da taxa de juros na América Latina |
title_full |
Determinantes macroeconômicos da estrutura a termo da taxa de juros na América Latina |
title_fullStr |
Determinantes macroeconômicos da estrutura a termo da taxa de juros na América Latina |
title_full_unstemmed |
Determinantes macroeconômicos da estrutura a termo da taxa de juros na América Latina |
title_sort |
Determinantes macroeconômicos da estrutura a termo da taxa de juros na América Latina |
author |
Andrade, Bruno Ferraz de |
author_facet |
Andrade, Bruno Ferraz de |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Nunes, Clemens V. de Azevedo Lyrio, Marco |
dc.contributor.author.fl_str_mv |
Andrade, Bruno Ferraz de |
dc.contributor.advisor1.fl_str_mv |
Fernandes, Marcelo |
contributor_str_mv |
Fernandes, Marcelo |
dc.subject.por.fl_str_mv |
Taxa de juros |
topic |
Taxa de juros Economia Política monetária - América Latina Macroeconomia |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Política monetária - América Latina Macroeconomia |
description |
The paper proposes a three-factor model based on Huse (2007) methodology to relate observable macroeconomic and financial variables with the term structure of interest rates in Latin America (Brazil, Chile, Colombia and Mexico). We control for inflation rate, activity growth rate, exchange rate variation, credit default swaps (CDS), unemployment rate, and nominal interest rates as well as global factors such as the slope of the US yield curve and changes in commodity prices. The models explain more than 75% of the movements in the term structure of interest rates of Brazil, Chile and Colombia and 65% of Mexico. Positive changes in real activity and in inflation result in increases in the term structure. With exception to Chile, a rise in CDS leads to increases in the long-term interest rates. Increases in the unemployment rate have different effects on countries. In sum, exchange rate depreciations do not lead to increases in interest rates. This is probably due to central banks considering the effect of exchange rate depreciation on inflation to be transitory. In Mexico, interest rates also increase with the energy and metal prices. Brazilian energy prices are regulated, so it is not surprising that they do not have any impact on interest rates. Positive changes in the slope of the US yield curve affect similarly the slope of the yield curves in Latin America, reducing the short rates at the same time they increase long rates. |
publishDate |
2016 |
dc.date.accessioned.fl_str_mv |
2016-03-08T11:18:06Z |
dc.date.available.fl_str_mv |
2016-03-08T11:18:06Z |
dc.date.issued.fl_str_mv |
2016-02-12 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
ANDRADE, Bruno Ferraz de. Determinantes macroeconômicos da estrutura a termo da taxa de juros na América Latina. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/15716 |
identifier_str_mv |
ANDRADE, Bruno Ferraz de. Determinantes macroeconômicos da estrutura a termo da taxa de juros na América Latina. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016. |
url |
http://hdl.handle.net/10438/15716 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/b98f6999-019a-477f-8430-17963340bacb/download https://repositorio.fgv.br/bitstreams/2ca5cfb3-a176-45b6-8979-02cf7887cc25/download https://repositorio.fgv.br/bitstreams/7e9c859a-5e31-449a-84ab-00ab76108cfe/download https://repositorio.fgv.br/bitstreams/828601ae-b60e-4b53-9e1f-bb03f8f5eaa8/download |
bitstream.checksum.fl_str_mv |
5a97d1bb19fc4cce2f436aa990dac5b2 dfb340242cced38a6cca06c627998fa1 eb6241cfd5e7758b22d2cc3b9613e6be 0cede1242ae73840a50ecfa6f2164646 |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810024041769074688 |