Análise da estrutura a termo das taxas de juros em países América Latina entre 2006 a 2014 (Analysis of term structure of interest rates in Latin America countries from 2006 to 2014)

• Published in: Revista Brasileira de Finanças Vol. 13; no. 4; p. 650
• Main Authors: Stona, Filipe, Amann, Jean, Morais, Maurício Delago, Triches, Divanildo, Morais, Igor Alexandre Clemente
• Format: Journal Article
• Language: Portuguese
• Published: Rio de Janeiro Sociedade Brasileira de Finanças 01-10-2015
• Subjects: Interest rates; Macroeconomics; Principal components analysis; Studies; Yield to maturity; Latin America
• ISSN: 1679-0731; 1984-5146

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.