The impact of monetary policy on the yield curve in the Brazilian economy

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dc.contributor.authorAranha, Marcel Z.
dc.contributor.authorSilva, Marcelo Leite de Moura e
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorAranha, Marcel Z.
dc.creatorSilva, Marcelo Leite de Moura e
dc.date.accessioned2023-07-13T19:58:06Z
dc.date.available2023-07-13T19:58:06Z
dc.date.issued2009
dc.description.otherThe main contribution of this study is to understand how episodes of restrictive monetary policy have different impacts on long-term interest rates. These impacts are decomposed into changes in real neutral interest rates, long-run expected inflation and risk premium. For a sub-sample, the latter is further decomposed into inflationary risks and other macroeconomic risks. More specifically, this study aims at analyzing periods of recent restrictive monetary policies, such as those of September 2002, June 2004 and April 2008. The results show that changes in the risk premium are the major factor driving long-run forward rates and that real neutral interest rates play a secondary role.pt_BR
dc.format.extent20 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.issueBEWP 078/2009
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5751
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.keywordsTerm structure of interest ratespt_BR
dc.subject.keywordsForward rates decompositionpt_BR
dc.subject.keywordsFinancial markets and the macroeconomypt_BR
dc.subject.keywordsMonetary policypt_BR
dc.titleThe impact of monetary policy on the yield curve in the Brazilian economypt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR

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Coleção Insper Business and Economics Working Papers