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O Prêmio pela Maturidade na Estrutura a Termo das Taxas de Juros Brasileiras

Listed author(s):
  • Ricardo D. Brito
  • Angelo José Mont'Alverne Duarte
  • Osmani Teixeira de Carvalho Guillén

This paper tests the Rational Expectations Hypothesis in Brazil from July 1996 to December 2001 for maturities ranging from 1 day to 1 year. It shows that (i) the estimated coefficients in the regressions of the short-run changes of the long rate on the yield spread and in the regressions of the long-run changes of the short rate on the yield spread are imprecise and unable to reject the REH. On the other hand, (ii) yield spreads highly correlated with the rational expectations forecasts of the perfect foresight spreads, but significantly more volatile than these, suggest the rejection of the REH. The alternative hypothesis of overreaction of the yield spread to the present short rate (or under-reaction of the long rate to the present short rate) seems to be a reasonable explanation to the findings that (iii) the estimated coefficients are significantly lower than unit and (iv) the residual are orthogonal to the agents information set in the regressions of the rational expectations forecasts on the yield spreads.

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Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 72.

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Date of creation: May 2003
Publication status: Published in Revista de Econometria (Brazilian Review of Econometrics), Vol. 24, no. 1 ( 2004), title Overreaction of yield spreads and movements of Brazilian interest rates.
Handle: RePEc:bcb:wpaper:72
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