Spillovers from U.S. Monetary Policy Normalization on Brazil and Mexico's Sovereign Bond Yields /

This paper examines the transmission of changes in the U.S. monetary policy to localcurrency sovereign bond yields of Brazil and Mexico. Using vector error-correction models, we find that the U.S. 10-year bond yield was a key driver of long-term yields in these countries, and that Brazilian yields w...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Goes, Carlos (Contribuidor), Kamil, Herman, De Imus, Phil
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington, D.C. : International Monetary Fund, 2017.
Colección:IMF working paper ; WP/17/50.
Temas:
Monetary policy > Brazil.
Politique monétaire > Brésil.
BUSINESS & ECONOMICS > Finance.
Monetary policy
Brazil
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover; Contents; Abstract; I. Introduction; II. Literature Review; III. Data Description and Model Specification; A. Data Description; B. Model Specification and Estimation; IV. Baseline Results; A. Impulse Responses of Local-Currency 10-Year Sovereign Bond Yields; B. Observed and Model-Based Yield Estimates around "Tapering Talk"; V. Counterfactual Analysis; VI. Analysis of Cointegration and Long-Run Equilibria; VII. Statistical Robustness; VIII. Discussion and Policy Implications; IX. Concluding Remarks; Appendices; I. Pre-Estimation Tests.
  • II. Cointegration Test for Near-Integrated VariablesIII. Time Series Plots; IV. Impulse Response Functions; References.

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