Dissertação (mestrado)—Universidade de Brasília, Departamento de Economia, 2006. / Submitted by Diogo Trindade Fóis (diogo_fois@hotmail.com) on 2009-10-22T16:25:23Z
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Previous issue date: 2006-08 / A Hipótese das Expectativas (HE) é testada na Estrutura a Termo das Taxas de Juros brasileira (ETTJ) no sentido de se verificar se a inclinação da curva de juros, representada pelo spread entre as taxas de juros de longo e curto prazos, pode explicar as variações das taxas de juros de curto prazo no Brasil. Foram utilizadas séries com médias mensais das taxas de juros de um, três e seis meses, de janeiro de 1995 a janeiro de 2006, empregando metodologia baseada em regressões individuais. Os resultados apontam para a não rejeição da HE, principalmente no período posterior à adoção do Regime de Metas para a Inflação, no qual observou-se menor volatilidade das taxas de juros. Apurou-se, ainda, que as variações das taxas de juros de curtíssimo prazo apresentam maior poder de previsão. __________________________________________________________________________________________ ABSTRACT / The Expectation Hypothesis is tested on the Brazilian term-structure of interest rates, in order to verify whether the slope of the yield curve, wich is represented by the spread between short and long terms interest rates, can explain short term interest rates variations. A monthly average time series of one, three and six months interest rates were used in a single equation regression model. The results suggest that the EH can not be rejected, mostly after the Inflation Target Regime adoption, when interest rates showed lower volatility. Yet, it can be observed that strictly short term rates proved to have greater predictive ability.
| Identifer | oai:union.ndltd.org:IBICT/oai:repositorio.unb.br:10482/2962 |
| Date | 08 1900 |
| Creators | Silva, Arlete da |
| Contributors | Tabak, Benjamin Miranda |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | Portuguese |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Source | reponame:Repositório Institucional da UnB, instname:Universidade de Brasília, instacron:UNB |
| Rights | info:eu-repo/semantics/openAccess |
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