A estrutura a termo da taxa de juros para uma pequena economia aberta
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Biblioteca Digital de Teses e Dissertações da UCB |
Texto Completo: | https://bdtd.ucb.br:8443/jspui/handle/tede/2642 |
Resumo: | There is a clear relationship between the macroeconomic variables and the term structure of interest rates. Studying the dynamics of the term structure is essential to understand, among other factors, how the monetary authority determines monetary policy. This study consists of modeling the behavior of the term structure from a polynomial framework based on Almeida et alii (2007) and Shousha (2005), which macroeconomic variables representative of the price level, activity level and external sector are added to the affine model. We find that: (I) the addition of macroeconomic variables in the term structure improves the forecasting power inside and outside the sample. (ii) The exchange rate variation and the output gap affect interest rates both at the level and at the first lag. (iii) In the related model, the dynamics of the state vector being a Gaussian VAR process (2) yields better results than a VAR (1). |
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Divino, Jos?? Angelo Costa do Amorhttp://lattes.cnpq.br/4790508103951006http://lattes.cnpq.br/8138674383595019Rocha Junior, Carlos Roberto Batista2019-11-04T20:20:01Z2019-02-28ROCHA JUNIOR, Carlos Roberto Batista. A estrutura a termo da taxa de juros para uma pequena economia aberta. 2019. 60 f. Disserta????o (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2019.https://bdtd.ucb.br:8443/jspui/handle/tede/2642There is a clear relationship between the macroeconomic variables and the term structure of interest rates. Studying the dynamics of the term structure is essential to understand, among other factors, how the monetary authority determines monetary policy. This study consists of modeling the behavior of the term structure from a polynomial framework based on Almeida et alii (2007) and Shousha (2005), which macroeconomic variables representative of the price level, activity level and external sector are added to the affine model. We find that: (I) the addition of macroeconomic variables in the term structure improves the forecasting power inside and outside the sample. (ii) The exchange rate variation and the output gap affect interest rates both at the level and at the first lag. (iii) In the related model, the dynamics of the state vector being a Gaussian VAR process (2) yields better results than a VAR (1).Existe uma clara rela????o entre as vari??veis macroecon??micas e as taxas de juros de diferentes maturidades. Estudar a din??mica da ETTJ ?? essencial para entender, entre outros fatores, como autoridade monet??ria determina a pol??tica monet??ria. Este trabalho consiste em modelar o comportamento da estrutura a termo a partir de uma abordagem polinomial baseada em Almeida et alii (2007) e Shousha (2005), onde ser?? acrescentado ao modelo afim, vari??veis macroecon??micas representativas do n??vel de pre??o, n??vel de atividade e setor externo. Pode-se concluir que: (i) a inclus??o de vari??veis macroecon??micas melhora o poder de previs??o do modelo dentro e fora da amostra; (ii) a varia????o da taxa de c??mbio e o hiato do produto impactam as taxas de juros tanto em n??vel, como na primeira defasagem; (iii) no modelo afim, a din??mica do vetor de estado sendo um processo gaussiano VAR (2) gera resultados melhores que um VAR (1).Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2019-11-04T20:19:48Z No. of bitstreams: 1 CarlosRobertoBatistaRochaJuniorDissertacao2019.pdf: 1495972 bytes, checksum: d0a04e88b0827b0d523987e7c9958636 (MD5)Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2019-11-04T20:20:01Z (GMT) No. of bitstreams: 1 CarlosRobertoBatistaRochaJuniorDissertacao2019.pdf: 1495972 bytes, checksum: d0a04e88b0827b0d523987e7c9958636 (MD5)Made available in DSpace on 2019-11-04T20:20:01Z (GMT). No. of bitstreams: 1 CarlosRobertoBatistaRochaJuniorDissertacao2019.pdf: 1495972 bytes, checksum: d0a04e88b0827b0d523987e7c9958636 (MD5) Previous issue date: 2019-02-28application/pdfhttps://200.214.135.178:8443/jspui/retrieve/6994/CarlosRobertoBatistaRochaJuniorDissertacao2019.pdf.jpgporUniversidade Cat??lica de Bras??liaPrograma Stricto Sensu em Economia de EmpresasUCBBrasilEscola de Humanidades, Neg??cios e DireitoTaxas de jurosMacroeconomiaMacroeconomicsInterest ratesCNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIAA estrutura a termo da taxa de juros para uma pequena economia abertainfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações da UCBinstname:Universidade Católica de Brasília (UCB)instacron:UCBTHUMBNAILCarlosRobertoBatistaRochaJuniorDissertacao2019.pdf.jpgCarlosRobertoBatistaRochaJuniorDissertacao2019.pdf.jpgimage/jpeg5393https://200.214.135.178:8443/jspui/bitstream/tede/2642/4/CarlosRobertoBatistaRochaJuniorDissertacao2019.pdf.jpg024d276a38c8732b74915aa677d342bdMD54TEXTCarlosRobertoBatistaRochaJuniorDissertacao2019.pdf.txtCarlosRobertoBatistaRochaJuniorDissertacao2019.pdf.txttext/plain65804https://200.214.135.178:8443/jspui/bitstream/tede/2642/3/CarlosRobertoBatistaRochaJuniorDissertacao2019.pdf.txt33b054952c0ca988fb3865d12b204c17MD53LICENSElicense.txtlicense.txttext/plain; charset=utf-81905https://200.214.135.178:8443/jspui/bitstream/tede/2642/1/license.txt75558dcf859532757239878b42f1c2c7MD51ORIGINALCarlosRobertoBatistaRochaJuniorDissertacao2019.pdfCarlosRobertoBatistaRochaJuniorDissertacao2019.pdfapplication/pdf1495972https://200.214.135.178:8443/jspui/bitstream/tede/2642/2/CarlosRobertoBatistaRochaJuniorDissertacao2019.pdfd0a04e88b0827b0d523987e7c9958636MD52tede/26422020-07-07 15:57:17.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 Digital de Teses e Dissertaçõeshttps://bdtd.ucb.br:8443/jspui/ |
dc.title.por.fl_str_mv |
A estrutura a termo da taxa de juros para uma pequena economia aberta |
title |
A estrutura a termo da taxa de juros para uma pequena economia aberta |
spellingShingle |
A estrutura a termo da taxa de juros para uma pequena economia aberta Rocha Junior, Carlos Roberto Batista Taxas de juros Macroeconomia Macroeconomics Interest rates CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
title_short |
A estrutura a termo da taxa de juros para uma pequena economia aberta |
title_full |
A estrutura a termo da taxa de juros para uma pequena economia aberta |
title_fullStr |
A estrutura a termo da taxa de juros para uma pequena economia aberta |
title_full_unstemmed |
A estrutura a termo da taxa de juros para uma pequena economia aberta |
title_sort |
A estrutura a termo da taxa de juros para uma pequena economia aberta |
author |
Rocha Junior, Carlos Roberto Batista |
author_facet |
Rocha Junior, Carlos Roberto Batista |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Divino, Jos?? Angelo Costa do Amor |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/4790508103951006 |
dc.contributor.authorLattes.fl_str_mv |
http://lattes.cnpq.br/8138674383595019 |
dc.contributor.author.fl_str_mv |
Rocha Junior, Carlos Roberto Batista |
contributor_str_mv |
Divino, Jos?? Angelo Costa do Amor |
dc.subject.por.fl_str_mv |
Taxas de juros Macroeconomia |
topic |
Taxas de juros Macroeconomia Macroeconomics Interest rates CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
dc.subject.eng.fl_str_mv |
Macroeconomics Interest rates |
dc.subject.cnpq.fl_str_mv |
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
dc.description.abstract.eng.fl_txt_mv |
There is a clear relationship between the macroeconomic variables and the term structure of interest rates. Studying the dynamics of the term structure is essential to understand, among other factors, how the monetary authority determines monetary policy. This study consists of modeling the behavior of the term structure from a polynomial framework based on Almeida et alii (2007) and Shousha (2005), which macroeconomic variables representative of the price level, activity level and external sector are added to the affine model. We find that: (I) the addition of macroeconomic variables in the term structure improves the forecasting power inside and outside the sample. (ii) The exchange rate variation and the output gap affect interest rates both at the level and at the first lag. (iii) In the related model, the dynamics of the state vector being a Gaussian VAR process (2) yields better results than a VAR (1). |
dc.description.abstract.por.fl_txt_mv |
Existe uma clara rela????o entre as vari??veis macroecon??micas e as taxas de juros de diferentes maturidades. Estudar a din??mica da ETTJ ?? essencial para entender, entre outros fatores, como autoridade monet??ria determina a pol??tica monet??ria. Este trabalho consiste em modelar o comportamento da estrutura a termo a partir de uma abordagem polinomial baseada em Almeida et alii (2007) e Shousha (2005), onde ser?? acrescentado ao modelo afim, vari??veis macroecon??micas representativas do n??vel de pre??o, n??vel de atividade e setor externo. Pode-se concluir que: (i) a inclus??o de vari??veis macroecon??micas melhora o poder de previs??o do modelo dentro e fora da amostra; (ii) a varia????o da taxa de c??mbio e o hiato do produto impactam as taxas de juros tanto em n??vel, como na primeira defasagem; (iii) no modelo afim, a din??mica do vetor de estado sendo um processo gaussiano VAR (2) gera resultados melhores que um VAR (1). |
description |
There is a clear relationship between the macroeconomic variables and the term structure of interest rates. Studying the dynamics of the term structure is essential to understand, among other factors, how the monetary authority determines monetary policy. This study consists of modeling the behavior of the term structure from a polynomial framework based on Almeida et alii (2007) and Shousha (2005), which macroeconomic variables representative of the price level, activity level and external sector are added to the affine model. We find that: (I) the addition of macroeconomic variables in the term structure improves the forecasting power inside and outside the sample. (ii) The exchange rate variation and the output gap affect interest rates both at the level and at the first lag. (iii) In the related model, the dynamics of the state vector being a Gaussian VAR process (2) yields better results than a VAR (1). |
publishDate |
2019 |
dc.date.accessioned.fl_str_mv |
2019-11-04T20:20:01Z |
dc.date.issued.fl_str_mv |
2019-02-28 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
status_str |
publishedVersion |
format |
masterThesis |
dc.identifier.citation.fl_str_mv |
ROCHA JUNIOR, Carlos Roberto Batista. A estrutura a termo da taxa de juros para uma pequena economia aberta. 2019. 60 f. Disserta????o (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2019. |
dc.identifier.uri.fl_str_mv |
https://bdtd.ucb.br:8443/jspui/handle/tede/2642 |
identifier_str_mv |
ROCHA JUNIOR, Carlos Roberto Batista. A estrutura a termo da taxa de juros para uma pequena economia aberta. 2019. 60 f. Disserta????o (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2019. |
url |
https://bdtd.ucb.br:8443/jspui/handle/tede/2642 |
dc.language.iso.fl_str_mv |
por |
language |
por |
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info:eu-repo/semantics/openAccess |
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openAccess |
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Universidade Cat??lica de Bras??lia |
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Programa Stricto Sensu em Economia de Empresas |
dc.publisher.initials.fl_str_mv |
UCB |
dc.publisher.country.fl_str_mv |
Brasil |
dc.publisher.department.fl_str_mv |
Escola de Humanidades, Neg??cios e Direito |
publisher.none.fl_str_mv |
Universidade Cat??lica de Bras??lia |
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