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Leilões de títulos da dívida pública pelo Banco Central do Brasil: um estudo dos fatores condicionantes da dispersão das propostas para os BBCs

Author

Listed:
  • Márcio Gomes Pinto Garcia

    (Department of Economics PUC-Rio)

  • Leonardo Bandeira Rezende

    (Department of Economics PUC-Rio)

Abstract

Nosso objetivo é obter um modelo econométrico simples que permita construirum intervalo de confiança para a dispersão das ofertas feitas pelas instituições financeirasnos leilões semanais de títulos de curto prazo no banco central do Brasil. Sob condiçõescompetitivas (por exemplo, nenhuma coalizão entre algumas instituições financeiras), assumimosque a dispersão das ofertas está associada à volatilidade dos preços futuros dataxa de juros diária e às taxas de juros diárias que prevaleceram nos dias anteriores aoleilão. Com base nessa premissa, nosso modelo consegue separar os dois leilões com umavolatilidade extremamente alta. Em um deles, a alta dispersão pode ser prevista usando osdados de outros mercados de taxas de juros; no outro, a dispersão ficou fora do intervalode confiança para a dispersão prevista. Isso pode ser usado como evidência empírica deuma tentativa de entrada no mercado que realmente ocorreu naquela data. Classificação JEL: H63; E58.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Márcio Gomes Pinto Garcia & Leonardo Bandeira Rezende, 1996. "Leilões de títulos da dívida pública pelo Banco Central do Brasil: um estudo dos fatores condicionantes da dispersão das propostas para os BBCs," Textos para discussão 360, Department of Economics PUC-Rio (Brazil).
    • Handle: RePEc:rio:texdis:360
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    Cited by:

    1. Afonso S. Bevilaqua, 2001. "The Structure of Public Sector Debt in Brazil," Research Department Publications 3121, Inter-American Development Bank, Research Department.

    More about this item

    JEL classification:

    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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