{"title":"通过收益率曲线识别货币冲击:以巴西为例","authors":"A. D. C. F. Filho","doi":"10.12660/RBFIN.V19N1.2021.81703","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"19 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Identification of monetary shocks through the yield curve: Evidence for Brazil\",\"authors\":\"A. D. C. F. Filho\",\"doi\":\"10.12660/RBFIN.V19N1.2021.81703\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":152637,\"journal\":{\"name\":\"Brazilian Review of Finance\",\"volume\":\"19 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-03-06\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Brazilian Review of Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12660/RBFIN.V19N1.2021.81703\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Brazilian Review of Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12660/RBFIN.V19N1.2021.81703","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Identification of monetary shocks through the yield curve: Evidence for Brazil
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.
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