Essays on low interest rates

Detalhes bibliográficos
Autor(a) principal: Rodrigues, Ligia de Oliveira
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/29928
Resumo: Por que as taxas de juros estão tão baixas nas economias avançadas? E nas economias emergentes? Esta dissertação investiga o declínio das taxas de juros reais nas últimas décadas, focando em duas hipóteses para explicar tal fenômeno: (i) convenience yield, prêmio que investidores estão dispostos a pagar por ativos seguros e líquidos e (ii) estagnação secular. Primeiro, aplicamos um VAR Bayesiano com tendências comuns para Estados Unidos, Reino Unido, Chile, México e Brasil para avaliar se o aumento no convenience yield pode explicar a queda na taxa de juros natural de 1998 a 2019. Depois, simulamos um modelo intergeracional para demonstrar como os principais fatores da estagnação secular podem justificar a mudança na taxa de juros natural de 1970 a 2015 para os Estados Unidos e o Reino Unido. As principais descobertas indicam que as mudanças demográficas e a desaceleração da produtividade têm pressionado as taxas de juros naturais para baixo desde a década de 1970 nos Estados Unidos e no Reino Unido. No entanto, o aumento no convenience yield, os prêmios que investidores estão inclinados a pagar por ativos seguros e líquidos, também explica parte da queda das taxas de juros naturais desde a década de 1990 nos Estados Unidos e no Reino Unido, e desde 2008 no Chile e no México. Para o Brasil, os resultados são inconclusivos.
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spelling Rodrigues, Ligia de OliveiraEscolas::EESPMuinhos, Marcelo KfouryBandeira, MiguelTenani, Paulo S.2020-12-17T15:02:11Z2020-12-17T15:02:11Z2020-12-04https://hdl.handle.net/10438/29928Por que as taxas de juros estão tão baixas nas economias avançadas? E nas economias emergentes? Esta dissertação investiga o declínio das taxas de juros reais nas últimas décadas, focando em duas hipóteses para explicar tal fenômeno: (i) convenience yield, prêmio que investidores estão dispostos a pagar por ativos seguros e líquidos e (ii) estagnação secular. Primeiro, aplicamos um VAR Bayesiano com tendências comuns para Estados Unidos, Reino Unido, Chile, México e Brasil para avaliar se o aumento no convenience yield pode explicar a queda na taxa de juros natural de 1998 a 2019. Depois, simulamos um modelo intergeracional para demonstrar como os principais fatores da estagnação secular podem justificar a mudança na taxa de juros natural de 1970 a 2015 para os Estados Unidos e o Reino Unido. As principais descobertas indicam que as mudanças demográficas e a desaceleração da produtividade têm pressionado as taxas de juros naturais para baixo desde a década de 1970 nos Estados Unidos e no Reino Unido. No entanto, o aumento no convenience yield, os prêmios que investidores estão inclinados a pagar por ativos seguros e líquidos, também explica parte da queda das taxas de juros naturais desde a década de 1990 nos Estados Unidos e no Reino Unido, e desde 2008 no Chile e no México. Para o Brasil, os resultados são inconclusivos.Why are interest rates are so low in advanced economies? Are interest rates also low in emerging markets? This paper investigates real interest rates decline over the last decades, focusing on two hypotheses to explain such phenomenon: (i) convenience yield or the premium for safe and liquid assets, and (ii) secular stagnation. First, we apply a Bayesian VAR with common trends for the United States, the United Kingdom, Chile, Mexico, and Brazil to assess how much an increase in convenience yield can explain the natural interest rate drop from 1998 to 2019. Second, we simulate an overlapping generation model with secular stagnation features to demonstrate how these forces can justify change in the natural interest rate from 1970 to 2015 for the United States and the United Kingdom. Main findings indicate that demographic changes and productivity slowdown have been pressuring the natural interest rates down since the 1970s in United States and the United Kingdom. However, increase in the convenience yield, the premium investors are inclined to pay for safe and liquid assets, has also been putting downward pressure on the natural interest rates since the 1990s in the United States and the United Kingdom, and since 2008 in Chile and Mexico. For Brazil, results are inconclusive.engNatural rate of interestConvenience yieldVAR with common trendsSecular stagnationOverlapping generation modelTaxa de juros naturalConvenience yieldVAR com tendências comunsEstagnação secularModelo intergeracionalEconomiaTaxas de jurosEconomiaModelos econométricosEssays on low interest ratesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALDissertacao_Ligia_Rodrigues.pdfDissertacao_Ligia_Rodrigues.pdfPDFapplication/pdf2631077https://repositorio.fgv.br/bitstreams/c7a10356-5ddc-4e17-ab64-eca6141596b0/download42c56fb175b6b52147f4356e465ace69MD51TEXTDissertacao_Ligia_Rodrigues.pdf.txtDissertacao_Ligia_Rodrigues.pdf.txtExtracted 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dc.title.eng.fl_str_mv Essays on low interest rates
title Essays on low interest rates
spellingShingle Essays on low interest rates
Rodrigues, Ligia de Oliveira
Natural rate of interest
Convenience yield
VAR with common trends
Secular stagnation
Overlapping generation model
Taxa de juros natural
Convenience yield
VAR com tendências comuns
Estagnação secular
Modelo intergeracional
Economia
Taxas de juros
Economia
Modelos econométricos
title_short Essays on low interest rates
title_full Essays on low interest rates
title_fullStr Essays on low interest rates
title_full_unstemmed Essays on low interest rates
title_sort Essays on low interest rates
author Rodrigues, Ligia de Oliveira
author_facet Rodrigues, Ligia de Oliveira
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.member.none.fl_str_mv Muinhos, Marcelo Kfoury
Bandeira, Miguel
dc.contributor.author.fl_str_mv Rodrigues, Ligia de Oliveira
dc.contributor.advisor1.fl_str_mv Tenani, Paulo S.
contributor_str_mv Tenani, Paulo S.
dc.subject.eng.fl_str_mv Natural rate of interest
Convenience yield
VAR with common trends
Secular stagnation
Overlapping generation model
topic Natural rate of interest
Convenience yield
VAR with common trends
Secular stagnation
Overlapping generation model
Taxa de juros natural
Convenience yield
VAR com tendências comuns
Estagnação secular
Modelo intergeracional
Economia
Taxas de juros
Economia
Modelos econométricos
dc.subject.por.fl_str_mv Taxa de juros natural
Convenience yield
VAR com tendências comuns
Estagnação secular
Modelo intergeracional
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Taxas de juros
Economia
Modelos econométricos
description Por que as taxas de juros estão tão baixas nas economias avançadas? E nas economias emergentes? Esta dissertação investiga o declínio das taxas de juros reais nas últimas décadas, focando em duas hipóteses para explicar tal fenômeno: (i) convenience yield, prêmio que investidores estão dispostos a pagar por ativos seguros e líquidos e (ii) estagnação secular. Primeiro, aplicamos um VAR Bayesiano com tendências comuns para Estados Unidos, Reino Unido, Chile, México e Brasil para avaliar se o aumento no convenience yield pode explicar a queda na taxa de juros natural de 1998 a 2019. Depois, simulamos um modelo intergeracional para demonstrar como os principais fatores da estagnação secular podem justificar a mudança na taxa de juros natural de 1970 a 2015 para os Estados Unidos e o Reino Unido. As principais descobertas indicam que as mudanças demográficas e a desaceleração da produtividade têm pressionado as taxas de juros naturais para baixo desde a década de 1970 nos Estados Unidos e no Reino Unido. No entanto, o aumento no convenience yield, os prêmios que investidores estão inclinados a pagar por ativos seguros e líquidos, também explica parte da queda das taxas de juros naturais desde a década de 1990 nos Estados Unidos e no Reino Unido, e desde 2008 no Chile e no México. Para o Brasil, os resultados são inconclusivos.
publishDate 2020
dc.date.accessioned.fl_str_mv 2020-12-17T15:02:11Z
dc.date.available.fl_str_mv 2020-12-17T15:02:11Z
dc.date.issued.fl_str_mv 2020-12-04
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
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repository.name.fl_str_mv Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)
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