Connectedness in the Brazilian yield curve

Main Article Content

Adonias Evaristo da Costa Filho
https://orcid.org/0009-0005-2797-2701

Abstract


This paper uses the connectedness approach to understand yield curve dynamics in Brazil. I find that the medium part of the curve is mainly a transmitter of shocks, while the short- and long-end are both net receivers of shocks. Medium-term expectations about the Brazilian economy therefore play a key role in yield curve dynamics in Brazil.

Article Details

How to Cite
da Costa Filho, A. E. (2023). Connectedness in the Brazilian yield curve. Brazilian Review of Finance, 21(4), 15–37. https://doi.org/10.12660/rbfin.v21n4.2023.89022
Section
Long Paper