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首页> 外文期刊>The North American journal of economics and finance >Impact of macroeconomic surprises on the Brazilian yield curve and expected inflation
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Impact of macroeconomic surprises on the Brazilian yield curve and expected inflation

机译：宏观经济意外因素对巴西收益率曲线和预期通胀的影响

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This study investigates how unexpected announcements in Brazilian and U.S. macroeconomic indicators affect the term structure of nominal interest rates, as well as implicit inflation expectations and real interest rates. Using daily data from March 2005 to December 2012, we employ an extended Vector Error Correction Model to take into account nonstationarity and the long-term equilibrium among different maturities of those curves. We found empirical evidence that macroeconomic surprises, domestic (Brazilian) and external (U.S. American), which lead the market to believe that there might be a higher risk of inflation or an overheated economy, raise nominal interest rates, implicit expected inflation and real interest rates. Surprisingly, in relation to the efficient-market hypothesis, we found that some macroeconomic surprises have a lagged effect on the yield curves. We also tested the impact of the global financial crisis of 2007-09 and found that the crisis affected significantly the direction and magnitude of the responses to macroeconomic news.
机译：这项研究调查了巴西和美国宏观经济指标出乎意料的宣布如何影响名义利率的期限结构以及隐含的通胀预期和实际利率。使用2005年3月至2012年12月的每日数据，我们采用了扩展的矢量误差校正模型，以考虑这些曲线的不同成熟度之间的非平稳性和长期均衡。我们发现经验证据表明，国内（巴西）和外部（美国）的宏观经济意外导致市场相信通货膨胀或经济过热的风险可能更高，名义利率上升，隐含的预期通胀和实际利率上升费率。出乎意料的是，关于有效市场假说，我们发现一些宏观经济意外因素对收益率曲线的影响滞后。我们还测试了2007-09年全球金融危机的影响，发现该危机显着影响了对宏观经济新闻的反应方向和力度。

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