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Term Premium Estimates for Brazil in a Model with Survey Expectations

Adonias Evaristo da Costa Filho

Applied Finance Letters2025https://doi.org/10.24135/afl.v14i.943article
ABDC B
Weight
0.50

Abstract

This paper estimates the term premium and equilibrium rates im- plied in the Brazilian yield curve, using a term structure model that incorporates data from survey expectations. Nominal long-term yields in Brazil are explained mostly by fluctuations in the equilibrium real rate.

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https://doi.org/https://doi.org/10.24135/afl.v14i.943

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@article{adonias2025,
  title        = {{Term Premium Estimates for Brazil in a Model with Survey Expectations}},
  author       = {Adonias Evaristo da Costa Filho},
  journal      = {Applied Finance Letters},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.24135/afl.v14i.943},
}

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Term Premium Estimates for Brazil in a Model with Survey Expectations

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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