Test of the validity of the uncovered interest parity in the Brazil between 2001 and 2007

Detalhes bibliográficos
Autor(a) principal: da Silva, Rodrigo de Sá
Data de Publicação: 2011
Outros Autores: Pinto, Paulo Renato Lessa
Tipo de documento: Artigo
Idioma: por
Título da fonte: Sinergia (Rio Grande. Online)
Texto Completo: https://periodicos.furg.br/sinergia/article/view/1477
Resumo: The uncovered interest parity (UIP) declares that the arbitration will make that similar bonds in two different countries have the same net return. If a bond from one country pays a higher interest rate than the international interest rate, there is an expectation of depreciation of its currency and thus it is expected that the actual return of the bond converge to the international interest rate. However, in recent years, the Brazilian securities have paid an interest rate above the international interest rate and its currency has been appreciating against the dollar, making the actual return of the securities of the country bigger than the international. Therefore, in this study, we test the UIP to Brazilian economy between November 2001 and September 2007 – one period in which Brazil has adopted a floating exchange rate. A tool for testing are the ordinary least squares, adjusted for possible autocorrelation between the error terms. We test if the interest rate differential is statistically significant in the exchange rate change. In addition, we compare the process of formation of expectations about the exchange rate – rational expectations and survey from the Relatório Focus – on the UIP.
id FURG-8_e9a90a0295e5880bf148ce8f8af300ef
oai_identifier_str oai:periodicos.furg.br:article/1477
network_acronym_str FURG-8
network_name_str Sinergia (Rio Grande. Online)
repository_id_str
spelling Test of the validity of the uncovered interest parity in the Brazil between 2001 and 2007Teste da validade da paridade descoberta de juros para o Brasil entre 2001 e 2007.Paridade Descoberta de Juros (PDJ). Economia brasileira. Expectativas racionais.The uncovered interest parity (UIP) declares that the arbitration will make that similar bonds in two different countries have the same net return. If a bond from one country pays a higher interest rate than the international interest rate, there is an expectation of depreciation of its currency and thus it is expected that the actual return of the bond converge to the international interest rate. However, in recent years, the Brazilian securities have paid an interest rate above the international interest rate and its currency has been appreciating against the dollar, making the actual return of the securities of the country bigger than the international. Therefore, in this study, we test the UIP to Brazilian economy between November 2001 and September 2007 – one period in which Brazil has adopted a floating exchange rate. A tool for testing are the ordinary least squares, adjusted for possible autocorrelation between the error terms. We test if the interest rate differential is statistically significant in the exchange rate change. In addition, we compare the process of formation of expectations about the exchange rate – rational expectations and survey from the Relatório Focus – on the UIP.A paridade descoberta de juros (PDJ) afirma que o processo de arbitragem fará com que títulos equivalentes de dois países diferentes tenham o mesmo retorno líquido. Se um título de um país paga uma taxa de juros maior do que a internacional há uma expectativa de depreciação da sua moeda e, assim, espera-se que o retorno real do título convirja para a taxa de juros internacional. Porém, nos últimos anos, os títulos brasileiros têm pagado uma taxa de juros acima da internacional e sua moeda vem se apreciando frente ao dólar, fazendo com que o retorno real dos títulos do país seja maior do que o internacional. Neste trabalho, buscamos testar, então, esta paridade para a economia brasileira durante o período de novembro de 2001 a setembro de 2007 – período no qual o Brasil já adotava o câmbio flutuante. Uma ferramenta para o teste são os mínimos quadrados ordinários, ajustados à possível autocorrelação entre os resíduos. Testa-se se o diferencial de juros é estatisticamente significativo na variação da taxa de câmbio. Além disso, compara-se o processo de formação das expectativas quanto ao câmbio – expectativas racionais e pesquisa do Relatório Focus – na verificação da PDJ.Universidade Federal do Rio Grande, FURG. RG/RS - BRASIL.2011-06-28info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://periodicos.furg.br/sinergia/article/view/1477SINERGIA - Revista do Instituto de Ciências Econômicas, Administrativas e Contábeis; v. 12 n. 2 (2008); 21-362236-76080102-7360reponame:Sinergia (Rio Grande. Online)instname:Universidade Federal do Rio Grande (FURG)instacron:FURGporhttps://periodicos.furg.br/sinergia/article/view/1477/638Copyright (c) 2014 SINERGIA - Revista do Instituto de Ciências Econômicas, Administrativas e Contábeisinfo:eu-repo/semantics/openAccessda Silva, Rodrigo de SáPinto, Paulo Renato Lessa2023-03-22T15:44:55Zoai:periodicos.furg.br:article/1477Revistahttps://periodicos.furg.br/sinergiaPUBhttps://periodicos.furg.br/sinergia/oaisinergiarevistafurg@gmail.com || professorquintana@hotmail.com2236-76080102-7360opendoar:2023-03-22T15:44:55Sinergia (Rio Grande. Online) - Universidade Federal do Rio Grande (FURG)false
dc.title.none.fl_str_mv Test of the validity of the uncovered interest parity in the Brazil between 2001 and 2007
Teste da validade da paridade descoberta de juros para o Brasil entre 2001 e 2007.
title Test of the validity of the uncovered interest parity in the Brazil between 2001 and 2007
spellingShingle Test of the validity of the uncovered interest parity in the Brazil between 2001 and 2007
da Silva, Rodrigo de Sá
Paridade Descoberta de Juros (PDJ). Economia brasileira. Expectativas racionais.
title_short Test of the validity of the uncovered interest parity in the Brazil between 2001 and 2007
title_full Test of the validity of the uncovered interest parity in the Brazil between 2001 and 2007
title_fullStr Test of the validity of the uncovered interest parity in the Brazil between 2001 and 2007
title_full_unstemmed Test of the validity of the uncovered interest parity in the Brazil between 2001 and 2007
title_sort Test of the validity of the uncovered interest parity in the Brazil between 2001 and 2007
author da Silva, Rodrigo de Sá
author_facet da Silva, Rodrigo de Sá
Pinto, Paulo Renato Lessa
author_role author
author2 Pinto, Paulo Renato Lessa
author2_role author
dc.contributor.author.fl_str_mv da Silva, Rodrigo de Sá
Pinto, Paulo Renato Lessa
dc.subject.por.fl_str_mv Paridade Descoberta de Juros (PDJ). Economia brasileira. Expectativas racionais.
topic Paridade Descoberta de Juros (PDJ). Economia brasileira. Expectativas racionais.
description The uncovered interest parity (UIP) declares that the arbitration will make that similar bonds in two different countries have the same net return. If a bond from one country pays a higher interest rate than the international interest rate, there is an expectation of depreciation of its currency and thus it is expected that the actual return of the bond converge to the international interest rate. However, in recent years, the Brazilian securities have paid an interest rate above the international interest rate and its currency has been appreciating against the dollar, making the actual return of the securities of the country bigger than the international. Therefore, in this study, we test the UIP to Brazilian economy between November 2001 and September 2007 – one period in which Brazil has adopted a floating exchange rate. A tool for testing are the ordinary least squares, adjusted for possible autocorrelation between the error terms. We test if the interest rate differential is statistically significant in the exchange rate change. In addition, we compare the process of formation of expectations about the exchange rate – rational expectations and survey from the Relatório Focus – on the UIP.
publishDate 2011
dc.date.none.fl_str_mv 2011-06-28
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://periodicos.furg.br/sinergia/article/view/1477
url https://periodicos.furg.br/sinergia/article/view/1477
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://periodicos.furg.br/sinergia/article/view/1477/638
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal do Rio Grande, FURG. RG/RS - BRASIL.
publisher.none.fl_str_mv Universidade Federal do Rio Grande, FURG. RG/RS - BRASIL.
dc.source.none.fl_str_mv SINERGIA - Revista do Instituto de Ciências Econômicas, Administrativas e Contábeis; v. 12 n. 2 (2008); 21-36
2236-7608
0102-7360
reponame:Sinergia (Rio Grande. Online)
instname:Universidade Federal do Rio Grande (FURG)
instacron:FURG
instname_str Universidade Federal do Rio Grande (FURG)
instacron_str FURG
institution FURG
reponame_str Sinergia (Rio Grande. Online)
collection Sinergia (Rio Grande. Online)
repository.name.fl_str_mv Sinergia (Rio Grande. Online) - Universidade Federal do Rio Grande (FURG)
repository.mail.fl_str_mv sinergiarevistafurg@gmail.com || professorquintana@hotmail.com
_version_ 1797041739721080833

Registros relacionados