Fiscal policy and the yield curve: a Dynamic Nelson-Siegel model for Brazil

Detalhes bibliográficos
Autor(a) principal: Fonseca, Marcelo Gonçalves da Silva
Data de Publicação: 2024
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/35857
Resumo: How fiscal policy affects the term structure of interest rates in Brazil? In the present work, I propose a Dynamic Nelson-Siegel model, in which the yield curve factors are affine functions of macroeconomic and financial variables, to investigate the impacts of fiscal shocks to interest rates. Consistent to the theoretical literature, higher primary deficits and gross public debt levels lead to the steepening of the yield curve. In addition, the proposed model has superior forecasting performance for medium and long maturity rates relative to simpler models.
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spelling Fonseca, Marcelo Gonçalves da SilvaEscolas::EESPMarçal, Emerson FernandesFerreira, Carlos Kawall LealPinto, Afonso de Campos2024-09-11T16:33:15Z2024-09-11T16:33:15Z2024-09-11https://hdl.handle.net/10438/35857How fiscal policy affects the term structure of interest rates in Brazil? In the present work, I propose a Dynamic Nelson-Siegel model, in which the yield curve factors are affine functions of macroeconomic and financial variables, to investigate the impacts of fiscal shocks to interest rates. Consistent to the theoretical literature, higher primary deficits and gross public debt levels lead to the steepening of the yield curve. In addition, the proposed model has superior forecasting performance for medium and long maturity rates relative to simpler models.Como a política fiscal afeta as taxas de juros no Brasil? No presente trabalho, é proposto um modelo Nelson-Siegel Dinâmico, ampliado por variáveis macroeconômicas e financeiras, com o objetivo de investigar o impacto de choques na política fiscal sobre o formato e a dinâmica da estrutura a termo da curva de juros. Consistentemente com a teoria econômica, maiores déficits primários e níveis de endividamento bruto do setor público mais altos produzem uma inclinação da curva de juros. Adicionalmente, o modelo proposto apresenta desempenho em projeções superior a modelos mais simples para as taxas a termo de maturidades de médio e longo prazo.engCurva de jurosEstrutura a termo da taxa de jurosModelo Nelson-SiegelPolítica fiscalYield curveTerm structure of interest ratesNelson-Siegel modelFiscal policyEconomiaPolítica tributária - BrasilTaxa de jurosMacroeconomiaFiscal policy and the yield curve: a Dynamic Nelson-Siegel model for Brazilinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALDissertação_Marcelo_MPE.pdfDissertação_Marcelo_MPE.pdfPDFapplication/pdf468053https://repositorio.fgv.br/bitstreams/182123ef-ed1e-4d03-9ac5-082eee4ae772/download1c853763e7d7dfd7fd3be5cfaa3a39cdMD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv Fiscal policy and the yield curve: a Dynamic Nelson-Siegel model for Brazil
title Fiscal policy and the yield curve: a Dynamic Nelson-Siegel model for Brazil
spellingShingle Fiscal policy and the yield curve: a Dynamic Nelson-Siegel model for Brazil
Fonseca, Marcelo Gonçalves da Silva
Curva de juros
Estrutura a termo da taxa de juros
Modelo Nelson-Siegel
Política fiscal
Yield curve
Term structure of interest rates
Nelson-Siegel model
Fiscal policy
Economia
Política tributária - Brasil
Taxa de juros
Macroeconomia
title_short Fiscal policy and the yield curve: a Dynamic Nelson-Siegel model for Brazil
title_full Fiscal policy and the yield curve: a Dynamic Nelson-Siegel model for Brazil
title_fullStr Fiscal policy and the yield curve: a Dynamic Nelson-Siegel model for Brazil
title_full_unstemmed Fiscal policy and the yield curve: a Dynamic Nelson-Siegel model for Brazil
title_sort Fiscal policy and the yield curve: a Dynamic Nelson-Siegel model for Brazil
author Fonseca, Marcelo Gonçalves da Silva
author_facet Fonseca, Marcelo Gonçalves da Silva
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.member.none.fl_str_mv Marçal, Emerson Fernandes
Ferreira, Carlos Kawall Leal
dc.contributor.author.fl_str_mv Fonseca, Marcelo Gonçalves da Silva
dc.contributor.advisor1.fl_str_mv Pinto, Afonso de Campos
contributor_str_mv Pinto, Afonso de Campos
dc.subject.por.fl_str_mv Curva de juros
Estrutura a termo da taxa de juros
Modelo Nelson-Siegel
Política fiscal
topic Curva de juros
Estrutura a termo da taxa de juros
Modelo Nelson-Siegel
Política fiscal
Yield curve
Term structure of interest rates
Nelson-Siegel model
Fiscal policy
Economia
Política tributária - Brasil
Taxa de juros
Macroeconomia
dc.subject.eng.fl_str_mv Yield curve
Term structure of interest rates
Nelson-Siegel model
Fiscal policy
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Política tributária - Brasil
Taxa de juros
Macroeconomia
description How fiscal policy affects the term structure of interest rates in Brazil? In the present work, I propose a Dynamic Nelson-Siegel model, in which the yield curve factors are affine functions of macroeconomic and financial variables, to investigate the impacts of fiscal shocks to interest rates. Consistent to the theoretical literature, higher primary deficits and gross public debt levels lead to the steepening of the yield curve. In addition, the proposed model has superior forecasting performance for medium and long maturity rates relative to simpler models.
publishDate 2024
dc.date.accessioned.fl_str_mv 2024-09-11T16:33:15Z
dc.date.available.fl_str_mv 2024-09-11T16:33:15Z
dc.date.issued.fl_str_mv 2024-09-11
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.uri.fl_str_mv https://hdl.handle.net/10438/35857
url https://hdl.handle.net/10438/35857
dc.language.iso.fl_str_mv eng
language eng
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)
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instacron:FGV
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institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
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