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)
ACESSO AO ARTIGO
http://tede.ibmecsp.edu.br/tde_busca/arquivo.php?codArquivo=48Documentos Relacionados
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