Estrutura a termo de taxa de juros brasileirainvestigando a presença de não linearidade

Resumo

This dissertation has the aim to evaluate one of the implications of expectation hypothesis in Brazilian term structure of interests. Using traditional linear tests and through the reproduction of nonlinear Threshold Autoregressive (TAR) tests of Enders and Granger (1998) and Exponential Smooth Transition Autoregressive (ESTAR) of Kapetanios and Shin (2003) the conclusion is that expectation hypothesis is not totally valid for Brazil, besides that, some evidences of non-linearity in spreads series were found then more research is needed on the subject.

Ficha do documento

Tipo

Dissertação

Ano

2011

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Não informado

Identificador

oai:repositorio.fgv.br:10438/8585

Temas

Economia

Palavras-chave

Term structure of interestsUnit root testThreshold autoregressive modelExponential smooth transition autoregressive modelEstrutura a termo de taxas de jurosTeste de raíz unitáriaModelo TARModelo ESTAREconomiaTaxas de juros - BrasilTaxas de juros - Brasil - Modelos matemáticos