Submitted by Natasha Lewin (natgaertner@hotmail.com) on 2014-05-21T13:47:19Z No. of bitstreams: 1 Dissertação_Natasha_Gaertner.pdf: 1016109 bytes, checksum: 3be3ae578302aaf3f6975eea7891ef1a (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2014-05-28T20:14:42Z (GMT) No. of bitstreams: 1 Dissertação_Natasha_Gaertner.pdf: 1016109 bytes, checksum: 3be3ae578302aaf3f6975eea7891ef1a (MD5) / Made available in DSpace on 2014-06-02T20:29:12Z (GMT). No. of bitstreams: 1 Dissertação_Natasha_Gaertner.pdf: 1016109 bytes, checksum: 3be3ae578302aaf3f6975eea7891ef1a (MD5) Previous issue date: 2013-11-27 / Este trabalho analisa a importância dos fatores comuns na evolução recente dos preços dos metais no período entre 1995 e 2013. Para isso, estimam-se modelos cointegrados de VAR e também um modelo de fator dinâmico bayesiano. Dado o efeito da financeirização das commodities, DFM pode capturar efeitos dinâmicos comuns a todas as commodities. Além disso, os dados em painel são aplicados para usar toda a heterogeneidade entre as commodities durante o período de análise. Nossos resultados mostram que a taxa de juros, taxa efetiva do dólar americano e também os dados de consumo têm efeito permanente nos preços das commodities. Observa-se ainda a existência de um fator dinâmico comum significativo para a maioria dos preços das commodities metálicas, que tornou-se recentemente mais importante na evolução dos preços das commodities. / This study analyses the importance of common factors in metal prices movements for the period 1995-2013. For this purpose, cointegrated VAR models and also a Bayesian dynamic factor model are estimated. Given the effect of the financialization of commodities, DFM can capture dynamic effects common to all commodities. Furthermore, panel data is applied in order to use all heterogeneity between commodities over the period. Our estimation results show that interest rate, US dollar effective rate and also consumption data have permanent effect in the commodity prices. Also, there exists one common significant dynamic factor for most metal commodity prices and that this common factor has recently become increasingly important in driving commodity prices.

Submitted by Rafael Burjack Farias Duarte (burjack86@gmail.com) on 2016-04-08T00:01:56Z No. of bitstreams: 1 Final_bib.pdf: 5471404 bytes, checksum: 29bf9321d29ec324d42b89681de3eb28 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2016-06-02T16:47:53Z (GMT) No. of bitstreams: 1 Final_bib.pdf: 5471404 bytes, checksum: 29bf9321d29ec324d42b89681de3eb28 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-06-13T18:12:59Z (GMT) No. of bitstreams: 1 Final_bib.pdf: 5471404 bytes, checksum: 29bf9321d29ec324d42b89681de3eb28 (MD5) / Made available in DSpace on 2016-06-13T18:13:41Z (GMT). No. of bitstreams: 1 Final_bib.pdf: 5471404 bytes, checksum: 29bf9321d29ec324d42b89681de3eb28 (MD5) Previous issue date: 2015-11-27 / Using a unique dataset on Brazilian nominal and real yield curves combined with daily survey forecasts of macroeconomic variables such as GDP growth, inflation, and exchange rate movements, we identify the effect of surprises to the Brazilian interbank target rate on expected future nominal and real short rates, term premia, and inflation expectations. We find that positive surprises to target rates lead to higher expected nominal and real interest rates and reduced nominal and inflation term premia. We also find a strongly positive relation between both real and nominal term premia and measures of dispersion in survey forecasts. Uncertainty about future exchange rates is a particularly important driver of variations in Brazilian term premia.