Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/9360 |
Resumo: | The concept of covered interest parity imply that, in the absence of arbitrage barriers between two markets, the interest differential among two assets, identical in all relevant aspects, excepted by the reference currency, in the absence of currency risk must be equal to zero. However, since there is any non-diversified risk, represented by the country risk, typical of emerging market economies, the investors will require a higher interest rate than the actual difference between the local and foreign interest rate. The purpose of this study is to evaluate if the adjustment of the covered interest parity condition by risk premium is sufficient to validate the non-arbitrage condition to the Brazilian market, during the period between 2007 and 2010. The country risk affect all the assets issued for a specific economy and can be described as the sum of the default risk (or sovereign risk) plus the convertibility risk perceived by the market. In order to estimate the non-arbitrage equation were used regressions such as Ordinary Least Squares, Time-Varying Parameters (TVP) and Recursive Least Squares, and the results were not conclusive in regards the validation of the covered interest parity, even adjusted by the risk premium. Measurement errors, transaction cost and interventions and restrictive policies on the foreign exchange market might be contributed to such result. |
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Castro, Gustavo Oliveira deEscolas::EESPRochman, Ricardo RatnerRidolfo Neto, ArthurMaiali, André Cury2012-03-07T13:06:38Z2012-03-07T13:06:38Z2012-02-07CASTRO, Gustavo Oliveira de. Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2012.http://hdl.handle.net/10438/9360The concept of covered interest parity imply that, in the absence of arbitrage barriers between two markets, the interest differential among two assets, identical in all relevant aspects, excepted by the reference currency, in the absence of currency risk must be equal to zero. However, since there is any non-diversified risk, represented by the country risk, typical of emerging market economies, the investors will require a higher interest rate than the actual difference between the local and foreign interest rate. The purpose of this study is to evaluate if the adjustment of the covered interest parity condition by risk premium is sufficient to validate the non-arbitrage condition to the Brazilian market, during the period between 2007 and 2010. The country risk affect all the assets issued for a specific economy and can be described as the sum of the default risk (or sovereign risk) plus the convertibility risk perceived by the market. In order to estimate the non-arbitrage equation were used regressions such as Ordinary Least Squares, Time-Varying Parameters (TVP) and Recursive Least Squares, and the results were not conclusive in regards the validation of the covered interest parity, even adjusted by the risk premium. Measurement errors, transaction cost and interventions and restrictive policies on the foreign exchange market might be contributed to such result.O conceito de paridade coberta de juros sugere que, na ausência de barreiras para arbitragem entre mercados, o diferencial de juros entre dois ativos, idênticos em todos os pontos relevantes, com exceção da moeda de denominação, na ausência de risco de variação cambial deve ser igual a zero. Porém, uma vez que existam riscos não diversificáveis, representados pelo risco país, inerentes a economias emergentes, os investidores exigirão uma taxa de juros maior que a simples diferença entre as taxas de juros doméstica e externa. Este estudo tem por objetivo avaliar se o ajustamento das condições de paridade coberta de juros por prêmios de risco é suficiente para a validação da relação de não-arbitragem para o mercado brasileiro, durante o período de 2007 a 2010. O risco país contamina todos os ativos financeiros emitidos em uma determinada economia e pode ser descrito como a somatória do risco de default (ou risco soberano) e do risco de conversibilidade percebidos pelo mercado. Para a estimação da equação de não arbitragem foram utilizadas regressões por Mínimos Quadrados Ordinários, parâmetros variantes no tempo (TVP) e Mínimos Quadrados Recursivos, e os resultados obtidos não são conclusivos sobre a validação da relação de paridade coberta de juros, mesmo ajustando para prêmio de risco. Erros de medidas de dados, custo de transação e intervenções e políticas restritivas no mercado de câmbio podem ter contribuído para este resultado.porParidade coberta de jurosRisco-paísCupom cambialEconomiaCâmbioTaxas de jurosRisco (Economia) - BrasilModelos econométricosUm teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALMPFE_EESP_FGV - Gustavo_Castro.pdfMPFE_EESP_FGV - Gustavo_Castro.pdfapplication/pdf714610https://repositorio.fgv.br/bitstreams/c60c2835-128f-4deb-bd07-339924cd0aca/downloaddd83fa04fea4b1eecd09497127a31686MD51LICENSElicense.txtlicense.txttext/plain; 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|
dc.title.por.fl_str_mv |
Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010 |
title |
Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010 |
spellingShingle |
Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010 Castro, Gustavo Oliveira de Paridade coberta de juros Risco-país Cupom cambial Economia Câmbio Taxas de juros Risco (Economia) - Brasil Modelos econométricos |
title_short |
Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010 |
title_full |
Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010 |
title_fullStr |
Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010 |
title_full_unstemmed |
Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010 |
title_sort |
Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010 |
author |
Castro, Gustavo Oliveira de |
author_facet |
Castro, Gustavo Oliveira de |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Rochman, Ricardo Ratner Ridolfo Neto, Arthur |
dc.contributor.author.fl_str_mv |
Castro, Gustavo Oliveira de |
dc.contributor.advisor1.fl_str_mv |
Maiali, André Cury |
contributor_str_mv |
Maiali, André Cury |
dc.subject.por.fl_str_mv |
Paridade coberta de juros Risco-país Cupom cambial |
topic |
Paridade coberta de juros Risco-país Cupom cambial Economia Câmbio Taxas de juros Risco (Economia) - Brasil Modelos econométricos |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Câmbio Taxas de juros Risco (Economia) - Brasil Modelos econométricos |
description |
The concept of covered interest parity imply that, in the absence of arbitrage barriers between two markets, the interest differential among two assets, identical in all relevant aspects, excepted by the reference currency, in the absence of currency risk must be equal to zero. However, since there is any non-diversified risk, represented by the country risk, typical of emerging market economies, the investors will require a higher interest rate than the actual difference between the local and foreign interest rate. The purpose of this study is to evaluate if the adjustment of the covered interest parity condition by risk premium is sufficient to validate the non-arbitrage condition to the Brazilian market, during the period between 2007 and 2010. The country risk affect all the assets issued for a specific economy and can be described as the sum of the default risk (or sovereign risk) plus the convertibility risk perceived by the market. In order to estimate the non-arbitrage equation were used regressions such as Ordinary Least Squares, Time-Varying Parameters (TVP) and Recursive Least Squares, and the results were not conclusive in regards the validation of the covered interest parity, even adjusted by the risk premium. Measurement errors, transaction cost and interventions and restrictive policies on the foreign exchange market might be contributed to such result. |
publishDate |
2012 |
dc.date.accessioned.fl_str_mv |
2012-03-07T13:06:38Z |
dc.date.available.fl_str_mv |
2012-03-07T13:06:38Z |
dc.date.issued.fl_str_mv |
2012-02-07 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
CASTRO, Gustavo Oliveira de. Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2012. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/9360 |
identifier_str_mv |
CASTRO, Gustavo Oliveira de. Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2012. |
url |
http://hdl.handle.net/10438/9360 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/c60c2835-128f-4deb-bd07-339924cd0aca/download https://repositorio.fgv.br/bitstreams/2b4b4e60-eb49-4887-94a3-737085be90b3/download https://repositorio.fgv.br/bitstreams/37678e55-7454-4eb5-b127-bb71b1316102/download https://repositorio.fgv.br/bitstreams/81c79ed0-69e7-43d8-9a89-273c33c48959/download |
bitstream.checksum.fl_str_mv |
dd83fa04fea4b1eecd09497127a31686 dfb340242cced38a6cca06c627998fa1 fa0d4203f4b274ddcae584d11e206604 6a89e77bef53d045fedccdbe62964e52 |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810023941969805312 |