Please use this identifier to cite or link to this item: https://repositorio.insper.edu.br/handle/11224/5927
Type: Working Paper
Title: Impact of macroeconomic surprises on the brazilian yield curve and expected inflation
Author: Moura, Marcelo L.
Gaião, Rafael Ladeira
Publication Date: 2012
Abstract: Announcements 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.
Keywords (english terms): Nominal and real yield curve
expected inflation
macroeconomic surprises
unanticipated
Language: Inglês
CNPq Area: Ciências Sociais Aplicadas
Copyright: O 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 EDITOR
Appears in Collections:Coleção Insper Working Papers

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