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Master's Dissertation
DOI
Document
Author
Full name
João Marcelo Taveira do Amaral
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2019
Supervisor
Committee
Bueno, Rodrigo de Losso da Silveira (President)
Fernandes Neto, Fernando
Inhasz, Juliana
Marçal, Emerson Fernandes
Title in Portuguese
Fatores globais e regionais na estrutura a termo da taxa de juros: o caso da América Latina
Keywords in Portuguese
América Latina
Estrutura a termo da taxa de juros
Filtro de Kalman
Modelos de fatores dinâmicos
Abstract in Portuguese
Esse trabalho propõe estudar o grau de integração da estrutura a termo da taxa de juros com o mercado global e regional nos países da América Latina. Modelos de fatores dinâmicos foram usados para extrair os fatores globais, regionais e idiossincráticos da estrutura a termo como em Diebold, Li e Yue (2008) e Bae e Kim (2011). Foi encontrado que a estrutura a termo da taxa de juros da América Latina é integrada ao mercado global além de existir uma integração regional entre os países. Esse resultado é robusto ao fazer análises de subpériodos. No entanto, o proporção de variância explicada por cada fator varia conforme mudamos a amostra analisada. Essa variação pode ser consequência do período pós-crise e das politicas monetárias realizadas pelos principais Bancos Centrais no período. Ademais, a curva de juros do Brasil parece ter sido pouca influenciada por fatores globais pois o país apresentava condições macroeconômicas diferentes do restante do mundo.
Title in English
Global and regional factors on the term structure of interest rates: the case of Latin America
Keywords in English
Dynamic factor models
Kalman filter
Latin America
Term structure of interest rates
Abstract in English
In this work we propose to study the degree of integration of the term structure of interest rate of Latin America countries with global and regional markets. Using dynamic factor models as Diebold, Li e Yue (2008) and Bae e Kim (2011) to extract the global, regional and country specific factors we found that the term structure of interest rates of Latin America countries is integrated with global and regional markets. This result is robust studying different sample periods. However, the proportion of variance explained by those factors change when the sample periods change. This variation in the proportion of variance can be understood as consequence of the post crises period and the unconventional monetary policy that followed. Brazil term structure doesn't seem to be affected to global components. We interpret this last result as being a consequence of the different economic cycle that the country had comparing to the rest of the world.
 
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OriginalJoao.pdf (744.98 Kbytes)
Publishing Date
2019-08-19
 
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