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Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates

Brazilian Review of Finance

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Title Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates
Testes da Hipótese de Expectativas na Estrutura a Termo das Taxas de Juros Brasileiras
 
Creator Tabak, Benjamin Miranda; Banco Centra do Brasil
Andrade, Sandro Canesso de; Banco Central do Brasil
 
Subject Economics
term structure; expectation hypothesis; risk premium
E43; G14; G15
Economia
estrutura a termo; hipótese de expectativas; prêmio de risco
E43; G14; G15
 
Description We test the Expectations Hypothesis (EH) plus Rational Expectations (RE) in the Brazilian term-structure of interest rates, using maturities ranging from 1 month to 12 months, and daily data from 1995 to 2000. We rely on two methodologies based on single-equation regressions. Our results indicate a rejection of the EH plus RE, specially at the longer maturity. This may have important implications for the rational expectations macro-modeling currently being used to evaluate the conduct of monetary policy in Brazil. We also show the risk premium in the yield curve are positively related to the covered interest rate differential and to the volatility of interest rates.
Neste trabalho são testadas as hipóteses de expectativas (EH) e as expectativas racionais (RE) na estrutura a termo das taxas de juros, utilizando vencimentos entre 1 e 12 meses e dados diários de 1995 a 2000. Duas metodologias baseadas em regressões de equações simples são empregadas. Os resultados indicam uma rejeição de EH e RE, especialmente nos vencimentos mais longos. Isto pode ter importantes implicações para as modelagens macro de expectativas racionais que têm sido usadas para avaliar a conduta da política monetária no Brasil. É mostrado também que os riscos de prêmio na curva de rendimentos são positivamente relacionados com o diferencial coberto da taxa de juros e com a volatilidade das taxas de juros.
 
Publisher Link to the Brazilian Society of Finance
 
Contributor —
—
 
Date 2003-06-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Double blind reviewed articles
Empirical
Avaliado por Pares
empírico
 
Format application/pdf
application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1124
 
Source Brazilian Review of Finance; Vol 1, No 1 (2003); pp. 19-43
Revista Brasileira de Finanças; Vol 1, No 1 (2003); pp. 19-43
1984-5146
1679-0731
 
Language eng
por
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1124/290
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1124/329