Globalização financeira

Modenesi, André de Melo

doi:10.1590/s0101-41612005000400008

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“…A equação acima sugere que a vinculação das taxas de juros interna e externa não implica, necessariamente, a sua convergência, porque, em geral, persistem o risco soberano e a expectativa de desvalorização cambial (MODENESI, 2004).…”

Section: Referencial Teóricounclassified

Os Determinantes das Taxas de Juros Brasileiras para Títulos Públicos Pré- fixados de Longo Prazo

Ness¹,

Klötzle²

2011

S&G

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This study aims to verify statistically, through the utilization of an interest rate covered parity model adjusted to the country-risk and other risks, what are the external determinants of daily Brazilian domestic interest rates for long-term public fixed income securities-in this case, the so-called National Treasury Notes-Series F (NTN-Fs) with maturity in 2017. The dependent variable was defined as being the yield-to-maturity of the respective NTN-Fs, whereas the independent variables were the risk-free rates of the US 10-year Treasuries, the Brazilian country-risk and the exchange rate risk. Given that the independent variables have strong multicollinearity, we opted for using a VAR model and, based on it, obtain the endogeneity degree of each variable. The main VAR model tools-which are the variance decomposition and the impulse-response functions-allowed us to make important conclusions about the delayed impacts of variations or shocks occurred in the independent variables over the analyzed NTN-Fs interest rates. The results proved that NTN-Fs interest rate is the most endogenous variable of the model, and the exchange rate risk is the least endogenous one. The most important conclusion was the evidence that there was a negative correlation between the risk-free rate of the US 10-year Treasuries and Brazilian long-run securities interest rates in 2007, opposing the previous expectation that there would be a positive relation between these variables.

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Section: Referencial Teóricounclassified

Os Determinantes das Taxas de Juros Brasileiras para Títulos Públicos Pré- fixados de Longo Prazo

Ness¹,

Klötzle²

2011

S&G

View full text Add to dashboard Cite

show abstract

Globalização financeira

Cited by 1 publication

References 0 publications

Os Determinantes das Taxas de Juros Brasileiras para Títulos Públicos Pré- fixados de Longo Prazo

Os Determinantes das Taxas de Juros Brasileiras para Títulos Públicos Pré- fixados de Longo Prazo

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