Teoria das Expectativas aplicada a estrutura a termo da taxa de juros do Brasil / Expectations theory applied to the Brazilian term structure of interest rates

AUTOR(ES)

Juliana Bezerra Sanches

DATA DE PUBLICAÇÃO

2006

RESUMO

This master thesis tests the Expectations Theory (ET) for the Brazilian term structure of interest rates (yield curve) from 2001 to 2006. The test consists on a vector autoregressive (VAR) simulated in six versions, which includes financial and macroeconomic variables. The results show that the Expectations Theory is not rejected in the following cases: Campbell and Shiller original model; the extension of the Campbell and Shiller model, which includes macroeconomic variables (inflation and industrial production); and a VAR with Nelson and Siegel model estimated by two factors and macroeconomic variables. However, ET is rejected by the VARs which include only the Nelson and Siegel model estimated by two factors, and the Nelson and Siegel model estimated by three factors

ASSUNTO(S)

economia expectations theory teoria das expectativas estrutura a termo da taxa de juros vetor autoregressivo (var) vector autoregressive (var) term structure of interest rates (yield curve)

Documentos Relacionados

• TERM STRUCTURE OF INTEREST RATES AND MACROECONOMIC DYNAMICS IN BRAZIL
• ESTIMANDO UM MODELO VAR PARA A ESTRUTURA A TERMO DA TAXA DE JUROS NO BRASIL
• A MODEL TO ESTIMATE THE TERM STRUCTURE OF INTEREST RATES OF LATIN AMERICAN EUROBONDS
• O USO DE MÁQUINA DE SUPORTE VETORIAL PARA REGRESSÃO (SVR) NA ESTIMAÇÃO DA ESTRUTURA A TERMO DA TAXA DE JUROS DO BRASIL
• APPLYING DIEBOLD AND LI METHODOLOGY TO BRAZILIAN INTEREST RATE TERM STRUCTURE ANALYSIS