A estrutura a termo da taxa de jurosuma síntese

Resumo

This article starts with a discussion of the use of the interest rate and the spread between distinct interest rates as predictors of either the level of the economic activity or the change in short-run interest rate, or even the rate o inflation. Following this, the yield curve is used to explain the relationship between the short-run and long-run interest rates. Also shown is how to carry out the empirical test of such a theory. The difficulties in the realization of the empirical test are discussed in light of both the experience of the United States and the case of Brazil. In the first case the difficulty is related to a particular operational procedure of the Federal Reserve (Fed). More precisely, as the Fed is more concerned with the medium-term interest rate, this makes the prediction of the interest rates in the middle of the yield curve more difficulty. In the case of Brazil, the difficulty in the realization of the empirical test is due to a lack of long-run financial applications in view of the high rates of inflation experienced by the country until recently. In any case, we show that even in the case of Brazil one can carry out a test in which the daily interest rate of the overnight market applications is related to the monthly interest rate. Finally, we discuss, based on the interest rate term structure, the advantages and disadvantages of having a public debt denominated in the short-run interest rate as against the long-run one.

Ficha do documento

Tipo

Estudo

Ano

1996

Instituição

Instituto de Pesquisa Econômica Aplicada (Ipea)

Fonte

Repositório do Ipea

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.ipea.gov.br:11058/1955

Licença

Licença Padrão Ipea

Abrangência

Brasil; Estados Unidos da América

Temas

Economia

Palavras-chave

Taxas de jurosTaxa de inflaçãoCurva de retorno