Interest Rates in Brazil

October, Saturday 29th | 8:30-10:30hs

Contributed Session CS27

Room 32

 
Chair: Marcelo Muinhos, Banco Central do Brasil
 
 

 

 Testing for Long-Range Dependence in the Brazilian Term Structure of Interest Rates

 

  

 

Session: Interest Rates in Brazil

 

  

Presenter

 Benjamin Tabak, Banco Central do Brasil

 

  

Author(s)

Benjamin Tabak, Banco Central do Brasil

Daniel Cajueiro, Universidade Católica de Brasilia

 

  

 

 

This paper presents empirical evidence of fractional dynamics in interest rates for different maturities for Brazil. A variation of a newly developed test for long-range dependence, the so-called V/S statistic, with a procedure to account for short-term autocorrelation, is employed. Our findings imply that the development of policy models that give rise to long-range dependence in interest rates could be very useful.

 

 

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 Reserve Requirements and Bank Interest Rate Distribution in Brazil

 

  

 

Session: Interest Rates in Brazil

 

  

Presenter

 Eduardo Rodrigues, Banco Central do Brasil

 

  

Author(s)

Eduardo Rodrigues, Banco Central do Brasil

Tony Takeda, Banco Central do Brasil

 

  

 

 

This work presents a semiparametric approach to evaluate the role of the Central Bank reserve requirement on the bank interest rate distribution in Brazil. We adopted the semiparametric approach developed by DiNardo, Fortin and Lemieux (1996), and explored the cross-sectional variability of the compulsory reserves among banks and the time series variability due to changes in the compulsory regulations. The results show important effects of compulsory reserves rates on bank interest rates.

 

 

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 Can Jurisdictional Uncertainty and Capital Controls Explain the High Level of Real Interest Rates in Brazil? Evidence from Panel Data

 

  

 

Session: Interest Rates in Brazil

 

  

Presenter

 Fernando Goncalves, University of California at Berkeley

 

  

Author(s)

Fernando Goncalves, University of California at Berkeley

Andrei Spacov, University of California at Berkeley

Marcio Holland, Visiting Scholar, University of California at Berkeley

 

  

Sponsor

The American University of Paris Scholarship

 

  

 

 

Arida, Bacha and Lara-Resende, 2004 (ABL) argue that jurisdiction risk and currency inconvertibility are relevant determinants of short-term real interest rates in Brazil. We formulate a methodology based on ABL, use a set of institutional variables to proxy jurisdiction risk, build a currency inconvertibility index and use them to test ABL’s conjecture and variants of it. Results are unfavorable to ABL and its variants and indicate that monetary and fiscal factors are far more relevant instead.

 

 

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 How do Brazilian Yield Spreads and Stock Prices Respond to FOMC Actions and U.S. Macroeconomic Data Announcements?

 

  

 

Session: Interest Rates in Brazil

 

  

Presenter

 Patrice Robitaille, Board of Governors of the Federal Reserve System

 

  

Author(s)

Patrice Robitaille, Board of Governors of the Federal Reserve System

Jennifer Roush, Board of Governors of the Federal Reserve System

 

  

 

 

We analyze the influence of FOMC and U.S. macro data announcements on intra-daily movements in a Brazilian benchmark bond yield spread over U.S. Treasuries and on the broad stock price index. Surprises associated with FOMC actions and some U.S. data announcements affect volatilities and have significant effects on conditional means. Changes in U.S. rates following FOMC actions are associated with a sizeably positive and significant movement in the yield spread.

 

 

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 Comparing Equilibrium Interest Rates: What Explains the Brazilian Figures?

 

  

 

Session: Interest Rates in Brazil

 

  

Presenter

 Marcelo Muinhos, Banco Central do Brasil

 

  

Author(s)

Marcelo Muinhos, Banco Central do Brasil

Marcio Nakane, Banco Central do Brasil and Universidade de Sao Paulo

 

  

 

 

Interest rates are higher in Brazil than in other emerging countries. This paper aims to shed light on the possible reasons for this. We use many methods to compare the real interest rates in Brazil and other countries: (i) extracting the equilibrium interest rate from IS curves (ii) extracting the steady state interest rate from marginal product of capital and (iii) capturing relevant variables and the fixed effects having the real interest rate as dependent variable in a panel.

 

 

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