Determinantes das taxas de juros à vista e futura no Brasil: uma análise do período 2007-2019
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Tipo
Dissertação
Data de publicação
2021-02-01
Periódico
Citações (Scopus)
Autores
Citro, Sergio Gozzi
Orientador
Vartanian, Pedro Raffy
Título da Revista
ISSN da Revista
Título de Volume
Membros da banca
Scarano, Paulo Rogério
Bortoluzzo, Adriana Bruscato
Bortoluzzo, Adriana Bruscato
Programa
Economia e Mercados
Resumo
In the last 25 years, Brazil was among the countries with the highest interest rates in the
world, with consequences observed in several fields of the Brazilian economy. High interest
rates were necessary, especially in the early years of the Real Plan, starting in 1994. From
1997 to 1999, high interest rates were again observed, due to the following financial crises
that hit the country, such as the Mexican (1994), Asian (1997), Russian (1998) and Brazilian
(1999). In the midst of macroeconomic vulnerabilities, the Brazilian monetary authority
implemented the inflation targeting regime with exchange rate fluctuation, which provided a
sustained decreasing track for the interest rate. After a period of relative international calm,
the outbreak of the 2008 financial crisis led Brazilian monetary authorities to promote a new
round of declining domestic interest rates, in response to the recessive effects and the threat of
systemic crisis that hung over the national financial system. As of 2012, a new set of
interventionist policies led to a reduction in the Selic rate at a time of inflationary
acceleration. In view of the negative effects on the expectations of economic agents, it was
necessary to tighten monetary policy and interrupt the downward trend in interest rates. In
light of that, it appears that many factors were determinant for the Brazilian interest rates over
the years. This work has as main objective to explain, in an empirical way, the determinants
of the spot and future interest rate, from the application of a multivariate econometric model
of autoregressive vectors (VAR) with error correction (VEC). The relationship between the
spot and the future rate is due to the intuitive observation that the future market anticipates the
realization of the current market expectations. The period covers from 2007 to 2019, the
aftermath of the great global financial crisis of 2008. The results show that both the spot rate
and the DI-future can be determined by fluctuations in inflation, the level of economic
activity, the real rate exchange rates, in addition to the lagged variables themselves.
Descrição
Palavras-chave
política monetária , taxas de juros , crise de 2008 , modelo VAR
Assuntos Scopus
Citação
CITRO, Sergio Gozzi. Determinantes das taxas de juros à vista e futura no Brasil: uma análise do período 2007-2019. 2021. 61 f. Dissertação (Mestrado Profissional em Economia e Mercados) - Universidade Presbiteriana Mackenzie, São Paulo. 2021.