Essays in applied econometrics
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Tipo de documento: | Tese |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/16591 |
Resumo: | Using a unique dataset on Brazilian nominal and real yield curves combined with daily survey forecasts of macroeconomic variables such as GDP growth, inflation, and exchange rate movements, we identify the effect of surprises to the Brazilian interbank target rate on expected future nominal and real short rates, term premia, and inflation expectations. We find that positive surprises to target rates lead to higher expected nominal and real interest rates and reduced nominal and inflation term premia. We also find a strongly positive relation between both real and nominal term premia and measures of dispersion in survey forecasts. Uncertainty about future exchange rates is a particularly important driver of variations in Brazilian term premia. |
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Duarte, Rafael Burjack FariasEscolas::EPGEBerriel, Cecília MachadoMoreira, Marcelo JovitaGaglianone, Wagner PiazzaBonomo, Marco Antônio CesarIssler, João Victor2016-06-13T18:13:41Z2016-06-13T18:13:41Z2015-11-27DUARTE, Rafael Burjack Farias. Essays in applied econometrics. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2015.https://hdl.handle.net/10438/16591Using a unique dataset on Brazilian nominal and real yield curves combined with daily survey forecasts of macroeconomic variables such as GDP growth, inflation, and exchange rate movements, we identify the effect of surprises to the Brazilian interbank target rate on expected future nominal and real short rates, term premia, and inflation expectations. We find that positive surprises to target rates lead to higher expected nominal and real interest rates and reduced nominal and inflation term premia. We also find a strongly positive relation between both real and nominal term premia and measures of dispersion in survey forecasts. Uncertainty about future exchange rates is a particularly important driver of variations in Brazilian term premia.engMonetary policy shocksUnspanned macro factorsTerm structure of interest ratesInflation expectationsTerm premiaEconomiaEconometriaModelos econométricosPrevisão econômica - Modelos econométricosMetais - PreçosEssays in applied econometricsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALFinal_bib.pdfFinal_bib.pdfPDFapplication/pdf5471404https://repositorio.fgv.br/bitstreams/b8c12210-e5c1-4c64-8b36-d1f1279cfb93/download29bf9321d29ec324d42b89681de3eb28MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/54f703a2-6389-4b58-867b-d966a2e74344/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTFinal_bib.pdf.txtFinal_bib.pdf.txtExtracted 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dc.title.eng.fl_str_mv |
Essays in applied econometrics |
title |
Essays in applied econometrics |
spellingShingle |
Essays in applied econometrics Duarte, Rafael Burjack Farias Monetary policy shocks Unspanned macro factors Term structure of interest rates Inflation expectations Term premia Economia Econometria Modelos econométricos Previsão econômica - Modelos econométricos Metais - Preços |
title_short |
Essays in applied econometrics |
title_full |
Essays in applied econometrics |
title_fullStr |
Essays in applied econometrics |
title_full_unstemmed |
Essays in applied econometrics |
title_sort |
Essays in applied econometrics |
author |
Duarte, Rafael Burjack Farias |
author_facet |
Duarte, Rafael Burjack Farias |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.member.none.fl_str_mv |
Berriel, Cecília Machado Moreira, Marcelo Jovita Gaglianone, Wagner Piazza Bonomo, Marco Antônio Cesar |
dc.contributor.author.fl_str_mv |
Duarte, Rafael Burjack Farias |
dc.contributor.advisor1.fl_str_mv |
Issler, João Victor |
contributor_str_mv |
Issler, João Victor |
dc.subject.eng.fl_str_mv |
Monetary policy shocks Unspanned macro factors Term structure of interest rates Inflation expectations Term premia |
topic |
Monetary policy shocks Unspanned macro factors Term structure of interest rates Inflation expectations Term premia Economia Econometria Modelos econométricos Previsão econômica - Modelos econométricos Metais - Preços |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Econometria Modelos econométricos Previsão econômica - Modelos econométricos Metais - Preços |
description |
Using a unique dataset on Brazilian nominal and real yield curves combined with daily survey forecasts of macroeconomic variables such as GDP growth, inflation, and exchange rate movements, we identify the effect of surprises to the Brazilian interbank target rate on expected future nominal and real short rates, term premia, and inflation expectations. We find that positive surprises to target rates lead to higher expected nominal and real interest rates and reduced nominal and inflation term premia. We also find a strongly positive relation between both real and nominal term premia and measures of dispersion in survey forecasts. Uncertainty about future exchange rates is a particularly important driver of variations in Brazilian term premia. |
publishDate |
2015 |
dc.date.issued.fl_str_mv |
2015-11-27 |
dc.date.accessioned.fl_str_mv |
2016-06-13T18:13:41Z |
dc.date.available.fl_str_mv |
2016-06-13T18:13:41Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/doctoralThesis |
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doctoralThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
DUARTE, Rafael Burjack Farias. Essays in applied econometrics. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2015. |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/16591 |
identifier_str_mv |
DUARTE, Rafael Burjack Farias. Essays in applied econometrics. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2015. |
url |
https://hdl.handle.net/10438/16591 |
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eng |
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eng |
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info:eu-repo/semantics/openAccess |
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openAccess |
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