Analysis of term structure of interest rates in Latin America countries from 2006 to 2014/Analise da estrutura a termo das taxas de juros em paises America Latina entre 2006 a 2014

This article aims to investigate the relationship between the term structure of interest rates and macroeconomic factors in selected countries of Latin America, such as Brazil, Chile and Mexico, between 2006 and 2014, on an autoregressive vector model. Specifically, we perform estimations of Nelson-...

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Bibliographic Details
Published in:Revista Brasileira de Financas 2015-10, Vol.13 (4), p.650
Main Authors: Stona, Filipe, Amann, Jean, Morais, Mauricio Delago, Triches, Divanildo, Morais, Igor Alexandre Clemente
Format: Article
Language:Spanish
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Summary:This article aims to investigate the relationship between the term structure of interest rates and macroeconomic factors in selected countries of Latin America, such as Brazil, Chile and Mexico, between 2006 and 2014, on an autoregressive vector model. Specifically, we perform estimations of Nelson-Siegel, Diabold-Li and principal component analysis to test how the change of macroeconomic factors, e.g. inflation, production and unemployment levels affect the yield curves. For Brazil and Mexico, GDP and inflation variables are relevant to change the yield curves, with the former shifting more the level, and the latter with greater influence on the slope. For Chile, inflation had the greatest impact on the level and, specifically for Mexico, the unemployment variable also changed the slope of the yield curve.
ISSN:1679-0731