Góes, Carlos; Kamil, Herman; Imus, Phil de; … - 2017
Brazil and Mexico. Using vector error-correction models, we find that the U.S. 10-year bond yield was a key driver of long …-13. Remarkably, the propagation of shocks from U.S. long-term yields was amplified by changes in the policy rate in Brazil, but not … in Mexico. Our counterfactual analysis suggests that yields in both countries temporarily overshot the values predicted …
