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Desoneração Fiscal de Não Residentes e a Estrutura a Termo da Taxa de Juros: Efeito da Medida Provisória Nº 281/2006

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  • Katia Rocha
  • Ajax Moreira

Abstract

O presente trabalho analisa os efeitos da Medida Provisória (MP) no 281, publicada em 16 de fevereiro de 2006 e convertida na Lei no 11.312, de 27 de junho de 2006, que reduziu a zero a alíquota de Imposto de Renda (IR) sobre os rendimentos dos títulos públicos federais adquiridos por não residentes, sobre a estrutura a termo da taxa de juros de títulos da dívida pública federal. Utilizaram-se dados diários fornecidos pela Associação Nacional das Instituições do Mercado Financeiro (Andima) referentes à taxa indicativa de juros para os títulos prefixados - Letras do Tesouro Nacional (LTN) e Notas do Tesouro Nacional-Série F (NTN-F) - e indexados ao Índice de Preços ao Consumidor Amplo - IPCA (NTN-B) bem como a respectiva duração, no período entre janeiro de 2005 e dezembro de 2007. A metodologia incorpora a aproximação da estrutura a termo da taxa de juros por uma combinação linear de polinômios de Laguerre e Legendre e a utilização de diversos modelos e variáveis de controle de forma a isolar o efeito da MP sobre a trajetória da curva de juros. Os resultados indicam que não se pode rejeitar a hipótese de que a desoneração fiscal teve efeito com resultados estatisticamente significantes para os diversos conjuntos de modelos, títulos e amostras utilizadas e mesmo controlando por outras fontes de alteração da demanda e da oferta. Obteve-se uma diminuição dos juros da ponta curta de aproximadamente 150 pontos-base, mas um aumento não esperado similar nos juros da ponta longa, resultado talvez explicado pela alteração da oferta de títulos longos pelo governo. This study analyzes the effect of the Provisional Measure 281, published at 16/02/2006 and converted in the Law no 11.312, at 27/06/2006, which reduced to zero the income tax of federal bonds achieved by non-residents, over the Brazilian term structure of interest rate. We used the daily indicative yield rate provided by Andima from fixed (LTN and NTN-F) and floating (NTN-B) bonds, as well as the respective duration in the period of January 2005 to December 2007. The methodology approximates the term structure by linear combinations of the Laguerre and Legendre polynomials and uses several specification models and controlling variables to isolate the effect of the Provisional Measure over the term structure evolution. The findings show that one cannot reject the effect resulting from the fiscal tax reduction. Statistically significant and robust results indicate a decrease of 150 basis point in the short-term interest, and an unexpected increase of similar figure in the long-term interest, possible explained by changes in the supply of the federal government bonds.

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Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1449.

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Length: 23 pages
Date of creation: Dec 2009
Date of revision:
Handle: RePEc:ipe:ipetds:1449

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