Essays on the monetary aspects of the term structure of nominal interest rates

Detalhes bibliográficos
Autor(a) principal: Brito, Ricardo Dias de Oliveira
Data de Publicação: 2001
Tipo de documento: Tese
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/1027
Resumo: Interest rates are key economic variables to much of finance and macroeconomics, and an enormous amount of work is found in both fields about the topic. Curiously, in spite of their common interest, finance and macro research on the topic have seldom interacted, using different approaches to address its main issues with almost no intersection. Concerned with interest rate contingent claims, finance term structure models relate interest rates to lagged interest rates; concerned with economic relations and macro dynamics, macro models regress a few interest rates on a wide variety of economic variables. If models are true though simplified descriptions of reality, the relevant factors should be captured by both the set of bond yields and that of economic variables. Each approach should be able to address the other field concerns with equal emciency, since the economic variables are revealed by the bond yields and these by the economic variables.
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spelling Brito, Ricardo Dias de OliveiraEscolas::EPGEPastore, Afonso CelsoGonçalves, Franklin de O.Garcia, MárcioBühler, WolfgangFlôres Junior, Renato Galvão2008-05-13T15:50:55Z2008-05-13T15:50:55Z2001-09-05BRITO, Ricardo Dias de Oliveira. Essays on the monetary aspects of the term structure of nominal interest rates. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2001.https://hdl.handle.net/10438/1027Interest rates are key economic variables to much of finance and macroeconomics, and an enormous amount of work is found in both fields about the topic. Curiously, in spite of their common interest, finance and macro research on the topic have seldom interacted, using different approaches to address its main issues with almost no intersection. Concerned with interest rate contingent claims, finance term structure models relate interest rates to lagged interest rates; concerned with economic relations and macro dynamics, macro models regress a few interest rates on a wide variety of economic variables. If models are true though simplified descriptions of reality, the relevant factors should be captured by both the set of bond yields and that of economic variables. Each approach should be able to address the other field concerns with equal emciency, since the economic variables are revealed by the bond yields and these by the economic variables.engTodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveis.info:eu-repo/semantics/openAccessEssays on the monetary aspects of the term structure of nominal interest ratesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisEconomiaPolítica monetáriaTaxas de jurosreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000305767.pdf000305767.pdfPDFapplication/pdf6343558https://repositorio.fgv.br/bitstreams/f05cab68-7cd2-4060-a365-d6cc40542e05/downloadae2147e58ed8cffd94472d7ab3b39418MD51TEXT000305767.pdf.txt000305767.pdf.txtExtracted Texttext/plain169599https://repositorio.fgv.br/bitstreams/540d3cb7-96ba-4c32-8b27-8aed062e71bb/downloadc958ca44171d30ecb84418d7ba6e8b25MD52THUMBNAIL000305767.pdf.jpg000305767.pdf.jpgGenerated Thumbnailimage/jpeg1788https://repositorio.fgv.br/bitstreams/cf7c2324-864a-4d3a-89a4-c2506cc83d83/downloadaf55f3943d8099c0a93cedb9dc61fdd4MD5310438/10272024-06-18 16:56:49.934open.accessoai:repositorio.fgv.br:10438/1027https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742024-06-18T16:56:49Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Essays on the monetary aspects of the term structure of nominal interest rates
title Essays on the monetary aspects of the term structure of nominal interest rates
spellingShingle Essays on the monetary aspects of the term structure of nominal interest rates
Brito, Ricardo Dias de Oliveira
Economia
Política monetária
Taxas de juros
title_short Essays on the monetary aspects of the term structure of nominal interest rates
title_full Essays on the monetary aspects of the term structure of nominal interest rates
title_fullStr Essays on the monetary aspects of the term structure of nominal interest rates
title_full_unstemmed Essays on the monetary aspects of the term structure of nominal interest rates
title_sort Essays on the monetary aspects of the term structure of nominal interest rates
author Brito, Ricardo Dias de Oliveira
author_facet Brito, Ricardo Dias de Oliveira
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.member.none.fl_str_mv Pastore, Afonso Celso
Gonçalves, Franklin de O.
Garcia, Márcio
Bühler, Wolfgang
dc.contributor.author.fl_str_mv Brito, Ricardo Dias de Oliveira
dc.contributor.advisor1.fl_str_mv Flôres Junior, Renato Galvão
contributor_str_mv Flôres Junior, Renato Galvão
dc.subject.area.por.fl_str_mv Economia
topic Economia
Política monetária
Taxas de juros
dc.subject.bibliodata.por.fl_str_mv Política monetária
Taxas de juros
description Interest rates are key economic variables to much of finance and macroeconomics, and an enormous amount of work is found in both fields about the topic. Curiously, in spite of their common interest, finance and macro research on the topic have seldom interacted, using different approaches to address its main issues with almost no intersection. Concerned with interest rate contingent claims, finance term structure models relate interest rates to lagged interest rates; concerned with economic relations and macro dynamics, macro models regress a few interest rates on a wide variety of economic variables. If models are true though simplified descriptions of reality, the relevant factors should be captured by both the set of bond yields and that of economic variables. Each approach should be able to address the other field concerns with equal emciency, since the economic variables are revealed by the bond yields and these by the economic variables.
publishDate 2001
dc.date.issued.fl_str_mv 2001-09-05
dc.date.accessioned.fl_str_mv 2008-05-13T15:50:55Z
dc.date.available.fl_str_mv 2008-05-13T15:50:55Z
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dc.identifier.citation.fl_str_mv BRITO, Ricardo Dias de Oliveira. Essays on the monetary aspects of the term structure of nominal interest rates. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2001.
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/1027
identifier_str_mv BRITO, Ricardo Dias de Oliveira. Essays on the monetary aspects of the term structure of nominal interest rates. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2001.
url https://hdl.handle.net/10438/1027
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