Browsing FGV EPGE - Seminários de Pesquisa Econômica by Subject "Taxas de juros"
Now showing items 1-8 of 8
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Do options contain information about excess bond returns ?
2006-02-23There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the im- pact of ... -
Does monetary policy stabilize the exchange rate following a currency crisis?
1999-05-27This paper provides evidence on the relationship between monetary policy and the exchange rate in the aftermath of currency crises. It ana1yzes a large data set of currency crises in 80 countries in the period 1980 to 1998. ... -
An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options
1999-08-12Our main goal is to investigate the question of which interest-rate options valuation models are better suited to support the management of interest-rate risk. We use the German market to test seven spot-rate and forward-rate ... -
Estrutura a termo da volatilidade em mercados de juros e futuros: características gerais e o mercado futuro de DI
1998-01-22São dois os objetivos deste artigo. O primeiro constitui-se em formalizar e formatar a resposta à questão acerca de como se comporta a volatilidade dos preços de titulos, futuros e derivativos de forma geral ao loogo do ... -
Interests prices and the Barosky - Summers resolution of the Gibson paradox under the gold standard
1993-08-19This paper presents a structural monetary úamework featunng a demand function for non-monetary uses of gold, such as the one drawn by Barsky and Summers in their 1988 analy8ÚI of the Gibson Paradox as a natural concomitant ... -
Legal enforcement, collateral and heterogeneity of project financing contracts
2007This paper employs mechanism design to study the effects of imperfect legal enforcement on optimal scale of projects, borrowing interest rates and the probability of default. The analysis departs from an environment that ... -
A pricing model for sovereign bond
1998-07-16Similar to the modeling used to evaluate ccnporate boncls, where it is a put optioo. 011 corporate assets, we modeled sovereign bonds. Instead of company's assets as underlining assets, we used foreign excbange reserves. ... -
Pricing the option adjust spread of Brazilian Eurobonds
1997-03-20This paper presents results of a pricing system to compute the option adjusted spread ('DAS') of Eurobonds issued by Brazilian firms. The system computes the 'DAS' over US treasury rates taktng imo account the embedded ...
