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首页> 外文期刊>The North American journal of economics and finance >Do U.S. factors impact the Brazilian yield curve? Evidence from a dynamic factor model
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Do U.S. factors impact the Brazilian yield curve? Evidence from a dynamic factor model

机译：U.S.因素影响巴西产量曲线吗？动态因子模型的证据

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This paper contributes to the literature on the relationship between the yield curve, macroeconomic variables, and the unexplored interactions with tae U.S. yield curve movements by focusing on an emerging market: Brazil. We incorporate factors for the U.S. yield curve and domestic macroeconomic variables into the Dynamic Nelson Siegel Model to explore comovements with the Brazilian yield curve. As noted here, foreign macroeconomic factors contain a lot of information about the domestic term structure of yields. The empirical results suggest that both American and macroeconomic components may explain the latent factors of the term structure; in particular, the U.S. factors influence the Brazilian yield curve, since almost half of the variance in the level factor was caused by movements in the U.S. curve. Furthermore, we find evidence that a specification with U.S. yield factors is better for short maturities and long forecasts horizons.
机译：本文有助于屈服曲线，宏观经济变量与跆拳道与TAE U.S的关系的文献。通过专注于新兴市场来产生曲线运动：巴西。我们纳入了美国的因素，将曲线和国内宏观经济变量进入动态纳尔逊Siegel模型，以探索巴西产量曲线的复合。如此在这里，外国宏观经济因素包含有关收益率的大量信息。实证结果表明，美国和宏观经济组件都可以解释术语结构的潜在因子;特别是，美国因素影响巴西产量曲线，因为水平因子的几乎一半的变化是由美国曲线的运动引起的。此外，我们发现证据表明，与美国的规范有更好的短期情况和长期预测。

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