Determinants of the Term Premium in Brazil
DOI:
https://doi.org/10.31501/rbee.v23i2.14566Abstract
This paper uses a model to decompose nominal yields in expected shortterm future rates and the term premium. It then uses regressions to explain the determinants of the term premium in Brazil. Among external variables, U.S. term premium and monetary policy help to explain Brazilian 10-year term premium, while among domestic variables, survey expectations for inflation, GDP growth, the
Selic policy rate and net debt, along with their disagreement, contribute to explain movements in the Brazilian 10-year term premium.
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