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Componentes de Curto e Longo Prazo das Taxas de Juros no Brasil

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  • Carlos Hamilton Vasconcelos Araújo
  • Osmani Teixeira de Carvalho de Guillén

Abstract

This article analyses the behavior of the Brazilian interest rate, using three measures of rate of return. The series are decomposed into their long run and short run components, as proposed by Vahid and Engle (1993). The results suggest a convergence of the rates to one long run equilibrium. We identify the dominance of the long run component in the composition of the C-Bond rate of return, whilst the short run component dominates in the case of the covered interest premium. There is, however, no clear dominance in the case of the uncovered interest premium.

Suggested Citation

  • Carlos Hamilton Vasconcelos Araújo & Osmani Teixeira de Carvalho de Guillén, 2002. "Componentes de Curto e Longo Prazo das Taxas de Juros no Brasil," Working Papers Series 55, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:55
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    References listed on IDEAS

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    Cited by:

    1. Loureiro, André Soares & Barbosa, Fernando de Holanda, 2003. "The risk premium on brazilian government debt, 1996-2002," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 485, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).

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