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Overreaction of yield spreads and movements of Brazilian interest ratestOverreaction of yield spreads and movements of Brazilian interest ratest
(Sociedade Brasileira de Econometria, 2004)
Essays in applied econometrics
(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 ...
Comparing equilibrium real interest rates : different approaches to measure Brazilian rates
(Escola de Pós-Graduação em Economia da FGV, 2006-03-24)
Despite the difficulties involved in the precise determination of equilibrium real interest rates, it seems clear that nominal interest rates has been higher in Brazil than in similar emerging economies. This paper aims ...
Stochastic growth and monetary policy: the impacts on the term structure of interest rates
(Escola de Pós-Graduação em Economia da FGV, 2001-04-01)
This paper builds a simple, empirically-verifiable rational expectations model for term structure of nominal interest rates analysis. It solves an stochastic growth model with investment costs and sticky inflation, susceptible ...
Prêmio de risco de inflação: uma abordagem comparativa entre estruturas a termo de taxa de juros e expectativas racionais
(2020-02-12)
Nesse trabalho são realizadas estimativas do Prêmio de Risco de Inflação por três abordagens distintas. Inicialmente, essa variável é estimada com a utilização dos preços embutidos nas estruturas a termo de taxas de juros ...
Equilibrium interest rates in Brazil: a laubach and williams approach
(2016)
Real interest rates in Brazil are still high in any international comparison, even considered that they have declined significantly in the last few years. The main purpose of this paper is not only to update but also extend ...
El valor de los activos financieros de acuerdo a las expectativas / The value of financial assests given our expectations
(2013-11-23)
This work hopes to offer a guide to investment given our rational or fundamentalist expectations
about financial assets, in order to ensure that the economic agents can invigorate their productive
activities and/or ...
Testing the liquidity preference hypothesis using survey forecasts
(ELSEVIERBrasil, 2015)
We evaluate the liquidity preference hypothesis (LPH) for the term structure of interest rates in a different way. Instead of using bond returns as traditional approaches, we use interest rate surveys with market expectations ...
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 ...