Impact of macroeconomic surprises on the brazilian yield curve and expected inflation

dc.contributor.authorMoura, Marcelo L.
dc.contributor.authorGaião, Rafael Ladeira
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorMoura, Marcelo L.
dc.creatorGaião, Rafael Ladeira
dc.date.accessioned2023-07-24T19:49:32Z
dc.date.available2023-07-24T19:49:32Z
dc.date.issued2012
dc.description.abstractAnnouncements of macroeconomic data can contain unanticipated shocks that impact on the term structure of interest rates, a highly relevant topic for market agents and monetary authorities. The present study investigates how unexpected variations in Brazilian and U.S. macroeconomic indicators affect the term structure of interest rates and expected inflation in Brazil. Using daily data from March 2005 to July 2011, we employ a vector error-correction model in order to take into account the long-term equilibrium among different maturities of the yield curve and the inflation expectations curve. In general, we find empirical evidence that macroeconomic announcement surprises, domestic (Brazilian) and external (U.S. American), which lead the market to believe that there might be a higher risk of inflation or an overheated economy, raise the nominal yield curves and, in some cases, affect the real yield curve and the expected inflation. Surprisingly, in relation to the efficient-market hypothesis, we also find that some macroeconomic surprises have a lagged effect on the yield curve, indicating over- and undershooting as well as delayed responses.
dc.description.otherAnnouncements of macroeconomic data can contain unanticipated shocks that impact on the term structure of interest rates, a highly relevant topic for market agents and monetary authorities. The present study investigates how unexpected variations in Brazilian and U.S. macroeconomic indicators affect the term structure of interest rates and expected inflation in Brazil. Using daily data from March 2005 to July 2011, we employ a vector error-correction model in order to take into account the long-term equilibrium among different maturities of the yield curve and the inflation expectations curve. In general, we find empirical evidence that macroeconomic announcement surprises, domestic (Brazilian) and external (U.S. American), which lead the market to believe that there might be a higher risk of inflation or an overheated economy, raise the nominal yield curves and, in some cases, affect the real yield curve and the expected inflation. Surprisingly, in relation to the efficient-market hypothesis, we also find that some macroeconomic surprises have a lagged effect on the yield curve, indicating over- and undershooting as well as delayed responses.pt_BR
dc.format.extent33 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.issueBEWP 169/2012
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5927
dc.language.isoInglêspt_BR
dc.publisherInsperpt_BR
dc.relation.ispartofseriesInsper Working Paperpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsNominal and real yield curvept_BR
dc.subject.keywordsexpected inflationpt_BR
dc.subject.keywordsmacroeconomic surprisespt_BR
dc.subject.keywordsunanticipatedpt_BR
dc.titleImpact of macroeconomic surprises on the brazilian yield curve and expected inflationpt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR

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