Work

Macroeconomic Determinants of the Interest Rate Term Structure: A Svensson Model Analysis

Year: 2025

Type: article

Abstract: This study develops a model to predict and explain short-term fluctuations in the Brazilian local currency interest rate term structure. The model relies on the potential relationship between these movements and key macroeconomic factors. The methodology consists of two stages. First, the Svensson model is applied to fit the daily yield curve data. This involves maximizing the R2 statistic in an OLS regression, following the Nelson–Siegel approach. The median decay parameters are then fixed for subsequent estimations. In the second stage, with the daily yield curve estimates in hand, another OLS regression is conducted. This regression incorporates the idea that Svensson’s betas are influenced by macroeconomic variables.

Source: Economies

DOI: 10.3390/economies13040108

Authors: Cristiane Benetti, José Monteiro Varanda Neto, Rogério Mori

Institutions: Centre Européen de Recherche en Economie Financière et Gestion des Entreprises, ICN Business School Nancy-Paris-Berlin, Université de Lorraine, Banco do Nordeste do Brasil (Brazil), Escola de Economia de São Paulo

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $2,172

OpenAlex ID: W4409485228

FWCI:

Cites: 25

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Related to: 10