Resumo

CEBALLOS SANHUEZA, Luis. Impact of Economic Surprises in the Term Structure of Interest Rates. Evidence for Brazil, Chile y Mexico. El trimestre econ [online]. 2016, vol.83, n.331, pp.647-675. ISSN 2448-718X.  https://doi.org/10.20430/ete.v83i331.214.

This paper reports the impact of economic surprises and unconventional monetary policy announcements on the nominal structure factors in Brazil, Chile and Mexico. We find that domestic inflation and monetary policy surprises have strong effect in the shape of the yield curve, and also we evidence an asymmetric impact of these surprises in the yield curves of the countries considered. On the other hand, external surprises also have an asymmetric impact, while unconventional monetary policy announcements, such as the Quantitative Esing and the Twist Operation, are those which have strong impact in the term structure.

Palavras-chave : economic surprises; unconventional monetary policy; rates structure.