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Connectedness in the Brazilian yield curve

Published: Nov 15, 2023
Volume: 21
Keywords: Yield curve Shocks Connectedness Monetary policy

Abstract

This paper uses the connectedness approach to understand yield curve dynamics in Brazil. I find that the medium part of the curve is mainly a transmitter of shocks, while the short- and long-end are both net receivers of shocks. Medium-term expectations about the Brazilian economy therefore play a key role in yield curve dynamics in Brazil.

How to cite

Adonias Evaristo da Costa Filho. Connectedness in the Brazilian yield curve. Brazilian Review of Finance, v. 21, n. 4, 2023. p. 15-37. DOI: 10.12660/rbfin.v21n4.2023.89022.