English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

In this work we propose to study the degree of integration of the term structure of interest rate of Latin America countries with global and regional markets. Using dynamic factor models as Diebold, Li e Yue (2008) and Bae e Kim (2011) to extract the global, regional and country specific factors we found that the term structure of interest rates of Latin America countries is integrated with global and regional markets. This result is robust studying different sample periods. However, the proportion of variance explained by those factors change when the sample periods change. This variation in the proportion of variance can be understood as consequence of the post crises period and the unconventional monetary policy that followed. Brazil term structure doesn’t seem to be affected to global components. We interpret this last result as being a consequence of the different economic cycle that the country had comparing to the rest of the world. Key-words: Term structure of interest rates. Latin America. Dynamic factor models. Kalman filter. Lista de ilustrações Figura 1 – Fatores de Nível, Inclinação e Curvatura do modelo de Diebold e Li (2006) 18 Figura 2 – Fator global e regional de nível extraídos via filtro de Kalman juntamente com os fatores de nível dos países da América Latina . . . . . . . . . . 35 Figura 3 – Fator global e regional de inclinação extraídos via filtro de Kalman juntamente com os fatores de inclinação dos países da América Latina . 36

Fatores globais e regionais na estrutura a termo da taxa de juros: o caso da América Latina