This paper investigates spillovers between the latent factors of the term structure of the interest rates of the United States and selected South American countries. We show how interest rates of different maturities of these countries interact. The term structure of the interest rate is estimated using the Dynamic Nelson-Siegel model, extracted through the Kalman filter. The main contribution of this article is the use of these spillover indices for stock markets developed by Diebold and Yilmaz (2009, 2012) for the relation between term structures of different countries. The results show a high degree of spillover in the level (22.79%), slope (25.53%), and curvature (15.18%) factors, with high oscillation of transmission intensities over time. There is a substantial increase in the spillover index during financial crises and other high-volatility periods. The results are important because they show the existence and intensity of international monetary spillovers, serving as a framework for the calibration of models used in monetary policy, as they are sensitive to international shocks. Moreover, changes in the interest rate levels may have impact on sectors that are sensitive to long-term rates and global bond markets.

本文研究了美国利率期限结构的潜在因素与选定的南美国家之间的溢出效应。我们展示了这些国家不同期限的利率如何相互作用。利率的期限结构是使用动态 Nelson-Siegel 模型估计的，通过卡尔曼滤波器提取。本文的主要贡献是将 Diebold 和 Yilmaz (2009, 2012) 开发的股票市场溢出指数用于不同国家期限结构之间的关系。结果表明，水平 (22.79%)、斜率 (25.53%) 和曲率 (15.18%) 因素存在高度溢出，传输强度随时间发生高振荡。在金融危机和其他高波动时期，溢出指数会大幅上升。结果很重要，因为它们显示了国际货币溢出效应的存在和强度，可作为校准货币政策模型的框架，因为它们对国际冲击很敏感。此外，利率水平的变化可能会对对长期利率和全球债券市场敏感的行业产生影响。