Wells Fargo, Washington, DC, United States of America.
College of Saint Benedict & Saint John's University, St. Joseph, MN, United States of America.
PLoS One. 2021 Sep 10;16(9):e0257313. doi: 10.1371/journal.pone.0257313. eCollection 2021.
This paper empirically models the dynamics of Brazilian government bond (BGB) yields based on monthly macroeconomic data, in the context of the evolution of the key macroeconomic variables in Brazil. The results show that the current short-term interest rate has a decisive influence on the long-term interest rate on BGBs, after controlling for various key macroeconomic variables, such as inflation and industrial production. These findings support John Maynard Keynes's claim that the central bank's actions influence the long-term interest rate on government bonds mainly through the current short-term interest rate. These findings have important policy implications for Brazil. This paper relates the findings of the estimated models to ongoing debates in fiscal and monetary policies.
本文基于巴西宏观经济数据，实证构建了巴西政府债券（BGB）收益率的动态模型，研究了巴西关键宏观经济变量的演变情况。结果表明，在控制了通胀和工业生产等各种关键宏观经济变量后，当前短期利率对 BGB 长期利率具有决定性影响。这些发现支持了约翰·梅纳德·凯恩斯（John Maynard Keynes）的观点，即央行的行动主要通过当前短期利率影响政府债券的长期利率。这些发现对巴西具有重要的政策意义。本文将估计模型的结果与财政和货币政策的持续辩论联系起来。
