Impact of macroeconomic surprises on the Brazilian yield curve and expected inflation

•We use unique datasets of Brazilian fixed income swaps: Pre x DI and IPCA x DI.•We split the impact on nominal rates for real rates and inflation expectations.•We test for lagged responses and for the impact of the global financial crisis.•We test for cointegration among the vertices of the yield c...

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Veröffentlicht in:	The North American journal of economics and finance 2014-01, Vol.27, p.114-144
Hauptverfasser:	Moura, Marcelo L., Gaião, Rafael L.
Format:	Artikel
Sprache:	eng
Schlagworte:	Economic indicators Global financial crisis Implicit expected inflation curve Inflation Interest rates Macroeconomic surprises Macroeconomics Real interest rates curve Studies Yield curve
Online-Zugang:	Volltext
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