Moura, Marcelo L.; Gaião, Rafael L. - In: The North American Journal of Economics and Finance 27 (2014) C, pp. 114-144
This study investigates how unexpected announcements in Brazilian and U.S. macroeconomic indicators affect the term structure of nominal interest rates, as well as implicit inflation expectations and real interest rates. Using daily data from March 2005 to December 2012, we employ an extended...