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| Author(s): |
Victor Magalhães Cezarini
Total Authors: 1
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| Document type: | Master's Dissertation |
| Press: | São Paulo. |
| Institution: | Universidade de São Paulo (USP). Faculdade de Economia, Administração e Contabilidade (FEA/SBD) |
| Defense date: | 2016-09-30 |
| Examining board members: |
Fabiana Fontes Rocha;
Siegfried Bender;
Alexandre Schwartsman;
Vladimir Kühl Teles
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| Advisor: | Fabiana Fontes Rocha |
| Abstract | |
The aim of this study is to analyze the influence that internal fundamentals and external factors have on long-term sovereign bond yields in emerging markets. The database covers 13 countries over 33 quarters between 2006 and 2014. The methodology addresses the latest techniques to deal with macro panels, such as panel unit root and panel cointegration tests. The estimated model is the Pooled Mean Group developed by Pesaran, Shin e Smith (1999). This model can separate the variables that affect the interest rate equilibrium from the ones that only have an effect in the short-run. In the best specification presented, the results indicates that in the short-run the variables that affects the interest rates in emerging markets are the risk free interest rate (+0.3), the short term interest rate (+0.4) and the American government deficit (+0.1). The variables that affects the equilibrium level are the risk free interest rate (+0.5), risk aversion (+0.1), current account balance (-0.3), inflation (+0.1), trade openness (-0.04) and gross debt (non-linear positive effect). Finally, by examining only the Brazilian case, our model indicates that if the country had maintained the internal fundamentals in line with the average of other emerging markets since the end of 2006, Brazil would reach the end of 2014 with a long-term interest rate of 6.1%, 6 p.p. below the actual value of 12.1%. (AU) | |
| FAPESP's process: | 15/10358-5 - The effects of fiscal policy on interest rates to private sector: a panel data approach for Latin America |
| Grantee: | Victor Magalhães Cezarini |
| Support Opportunities: | Scholarships in Brazil - Master |