Open AccessIdentification of monetary shocks through the yield curve: Evidence for Brazil
Author(s) -
Adonias Evaristo da Costa Filho
Publication year - 2021
Publication title -
revista brasileira de finanças
Language(s) - English
Resource type - Journals
eISSN - 1984-5146
pISSN - 1679-0731
DOI - 10.12660/rbfin.v19n1.2021.81703
Subject(s) - economics , monetary policy , yield curve , yield (engineering) , shock (circulatory) , identification (biology) , econometrics , monetary economics , vector autoregression , macroeconomics , interest rate , medicine , materials science , botany , biology , metallurgy
This paper derives a new measure of monetary shock for Brazil based on the yield curve. First, the Diebold and Li (2006) model is estimated with nominal yields. The changes of the latent variables of this model surrounding monetary policy meetings are used to analyze the effects on the Brazilian economy. Monetary policy decisions associated with steeper yield curves lead to higher future economic activity.