What Drives Long Term Real Interest Rates in Brazil?

This paper investigates the drivers of long term real interest rates in Brazil. It is shown that long term yield on inflation linked bonds are driven by yields on 10 year interest rates of United States (US) government bonds and 10 year risk premium, as measured by the Credit Default S...

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Autor principal:	Adonias Evaristo da Costa Filho
Formato:	article
Lenguaje:	EN PT
Publicado:	FUCAPE Business School 2017
Materias:	interest rates risk premium monetary policy tapering Business HF5001-6182
Acceso en línea:	https://doaj.org/article/20ae96e02dca4cc7bf0982832648f56d
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spelling	oai:doaj.org-article:20ae96e02dca4cc7bf0982832648f56d2021-11-11T15:48:07ZWhat Drives Long Term Real Interest Rates in Brazil?1807-734Xhttps://doaj.org/article/20ae96e02dca4cc7bf0982832648f56d2017-01-01T00:00:00Zhttp://www.redalyc.org/articulo.oa?id=123053350005https://doaj.org/toc/1807-734XThis paper investigates the drivers of long term real interest rates in Brazil. It is shown that long term yield on inflation linked bonds are driven by yields on 10 year interest rates of United States (US) government bonds and 10 year risk premium, as measured by the Credit Default Swap (CDS). Long term interest rates in Brazil were on a downward trend, following US real rates and stable risk premium, until the taper tantrum in the first half of 2013. From then onwards, real interest rates rose due to the increase in US real rates in anticipation of the beginning of monetary policy normalization and, more recently, due to a sharp increase in Brazilian risk premium. Policy interest rates do not significantly affect long term real interest rates.Adonias Evaristo da Costa FilhoFUCAPE Business Schoolarticleinterest ratesrisk premiummonetary policytaperingBusinessHF5001-6182ENPTBBR: Brazilian Business Review, Vol 14, Iss 6, Pp 624-635 (2017)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	interest rates risk premium monetary policy tapering Business HF5001-6182
spellingShingle	interest rates risk premium monetary policy tapering Business HF5001-6182 Adonias Evaristo da Costa Filho What Drives Long Term Real Interest Rates in Brazil?
description	This paper investigates the drivers of long term real interest rates in Brazil. It is shown that long term yield on inflation linked bonds are driven by yields on 10 year interest rates of United States (US) government bonds and 10 year risk premium, as measured by the Credit Default Swap (CDS). Long term interest rates in Brazil were on a downward trend, following US real rates and stable risk premium, until the taper tantrum in the first half of 2013. From then onwards, real interest rates rose due to the increase in US real rates in anticipation of the beginning of monetary policy normalization and, more recently, due to a sharp increase in Brazilian risk premium. Policy interest rates do not significantly affect long term real interest rates.
format	article
author	Adonias Evaristo da Costa Filho
author_facet	Adonias Evaristo da Costa Filho
author_sort	Adonias Evaristo da Costa Filho
title	What Drives Long Term Real Interest Rates in Brazil?
title_short	What Drives Long Term Real Interest Rates in Brazil?
title_full	What Drives Long Term Real Interest Rates in Brazil?
title_fullStr	What Drives Long Term Real Interest Rates in Brazil?
title_full_unstemmed	What Drives Long Term Real Interest Rates in Brazil?
title_sort	what drives long term real interest rates in brazil?
publisher	FUCAPE Business School
publishDate	2017
url	https://doaj.org/article/20ae96e02dca4cc7bf0982832648f56d
work_keys_str_mv	AT adoniasevaristodacostafilho whatdriveslongtermrealinterestratesinbrazil
_version_	1718433878613426176

What Drives Long Term Real Interest Rates in Brazil?

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