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Impacto das expectativas de mercado na taxa de juros brasileira
(2021-06-23)
O objetivo desse trabalho é identificar a existência de uma possível relação entre as expectativas do mercado e a taxa de juros brasileira. As expectativas de mercado são divulgadas pelo relatório Focus do Banco Central ...
The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach
The link between short-term policy rates and long-term rates elucidate the potential effectiveness of monetary policy. We examine the US term structure of interest rates using a pairwise econometric approach advocated by ...
Do interest rate options contain information about excess returns?
(Elsevier Science Sa, 2011-09-01)
There is strong empirical evidence that long-term interest rates contain a time-varying risk premium. Options may contain valuable information about this risk premium because their prices are sensitive to the underlying ...
Real exchange rate in forward-looking Rules : advantages and pitfalls
(Universidad de Chile, 2019)
In a small open economy model, we assess the advantages and cost of a systematic policy
response to the real exchange rate. In particular, in the context of the Gali and Monacelli (2005)
model, we use the method of ...
Condiciones de competencia en el mercado de gas natural de la República Argentina: 1990-2008
(Pontificia Universidad Católica del Perú. Fondo EditorialPE, 2018)
An Empirical Econometric Model for the Mexican Target Rate and its application to determine the Interest Rate Curve
(Instituto Tecnológico y de Estudios Superiores de Monterrey, 2020)
The term structure of interest rates is an extremely important subject in Finance. The rates’ value influences the pricing of practically any asset, and it is also important to determine the value of several liabilities. ...
The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies
The validity of the expectations hypothesis of the term structure is examined for a sample of Asian countries. A panel stationarity testing procedure is employed that addresses both structural breaks and cross-sectional ...
Os efeitos da política monetária na estrutura a termo de taxas de juros brasileira, no período de julho de 1999 a março de 2007
(2007-05-31)
Monetary policy actions are believed to be transmitted to the economy through their effects on market interest rates. However, it is observed that the relationship between monetary policy and market interest rates seems ...