The risk premium on brazilian government debt, 1996-2002
The goal of this paper is to identify the determinants of the risk premium on Brazilian government debt. As the risk premium is a component of the interest rate set by the Brazilian central bank, its reduction would make it possible for the central bank to cut interest rates to levels compatible with a higher economic growth environment. The empirical evidence presented in this paper does not reject the hypotheses that fiscal solvency and the size of the public debt affect the risk premium as measured by the spread over treasury bills of the Brazilian C-bond.
|Date of creation:||28 Jun 2003|
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- Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October.
- 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.
- Rudiger Dornbusch, 1980. "Exchange Rate Risk and the Macroeconomics of Exchange Rate Determination," NBER Working Papers 0493, National Bureau of Economic Research, Inc.
- Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec..
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