Retornos não-lineares e expectativas de retornoevidências em CDI, IRFM, IMAB e IMAB5+

Resumo

This study investigates the existence of nonlinear patterns in the returns of the main Brazilian fixed-income indices, comparing the behavior of the overnight interbank deposit rate (CDI) with the performance of fixed-rate and inflation-indexed securities across different maturities. The analysis of index dynamics is structured in three stages: descriptive statistical analysis, estimation of linear autoregressive models, and application of cubic polynomial models, which allow for the capture of slope changes and more complex behaviors in return series. The underlying premise is that returns associated with the overnight rate tend to follow a more stable and linear trajectory, whereas returns on inflation-indexed securities reflect greater uncertainty related to inflation dynamics, real interest rate volatility, and the risk premia embedded in the term structure of interest rates. The results show that these instruments exhibit dynamics that are more sensitive to macroeconomic conditions, suggesting the presence of relevant nonlinearities. By adapting the methodological approach of Amini et al. (2021), originally developed for equity markets in developed economies, to the context of Brazilian fixed-income indices, this study contributes to a broader understanding of return expectation formation in this market segment, addressing a gap in the domestic empirical literature.

Ficha do documento

Tipo

Dissertação

Ano

2026

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/38910

Temas

Economia

Palavras-chave

Finanças quantitativasRetornos não linearesExpectativas de retornoCurva de jurosÍndices de renda fixaAnálise empíricaQuantitative financeNonlinear returnsReturn expectationsYield curveFixedincome indicesEmpirical analysisEconomiaFinançasAtivos financeiros de renda fixaTaxas de jurosRetorno de investimentos