A estrutura a termo da taxa de juros para uma pequena economia aberta

Abstract

There is a clear relationship between the macroeconomic variables and the term structure of interest rates. Studying the dynamics of the term structure is essential to understand, among other factors, how the monetary authority determines monetary policy. This study consists of modeling the behavior of the term structure from a polynomial framework based on Almeida et alii (2007) and Shousha (2005), which macroeconomic variables representative of the price level, activity level and external sector are added to the affine model. We find that: (I) the addition of macroeconomic variables in the term structure improves the forecasting power inside and outside the sample. (ii) The exchange rate variation and the output gap affect interest rates both at the level and at the first lag. (iii) In the related model, the dynamics of the state vector being a Gaussian VAR process (2) yields better results than a VAR (1).