Determinantes da taxa de juros no Brasil: uma abordagem não-linear

AUTOR(ES)

Fabiano Jose Muniz

DATA DE PUBLICAÇÃO

2010

RESUMO

This paper investigates the interest rate determination in Brazil based on autoregressive Markov-Switching Process (MS-VAR). Initially developed to model US business cycle, the MS-VAR approach has been used in several fields in conomics due to its flexibility and to its important empirical results, based on estimates of nonlinear parameters of the regression. We show that the Brazilian interest rate followed a nonlinear dynamic process during the 1995- 2009 period. Additionally, the estimation based in the MS-VAR showed interesting results that are in line with stylized facts of the Brazilian economy. Particularly, the outcomes suggest that the high public debt was one of the factors that influence the rising interest rate levels at the beginning of the Real Plan. Recently, in spite of the improvement of the Brazilian economic outlook, the increasing trend of public expenditure could a sign of long term fiscal policys deterioration, which could adversely affect the Brazilian interest rate in the future.

ASSUNTO(S)

economia autoregressive vector of regime switching (ms-var) dívida pública vetor autoregressivo com mudanças de regime (ms-var) taxa de juros interest rate public debt

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