Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238646 
Year of Publication: 
2020
Series/Report no.: 
Working Paper No. 956
Publisher: 
Levy Economics Institute of Bard College, Annandale-on-Hudson, NY
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 Brazil's key macroeconomic variables. The results show that the current short-term interest rate has a decisive influence on BGBs' long-term interest rates after controlling for various key macroeconomic variables, such as inflation and industrial production or economic activity. 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 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.
Subjects: 
Brazilian Government Bonds
Long-Term Interest Rate
Bond Yields
Monetary Policy
Short-Term Interest Rate
Banco Central do Brasil (BCB)
JEL: 
E43
E50
E58
E60
G10
G12
Document Type: 
Working Paper

Files in This Item:
File
Size
753.89 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.