Browsing Produção Intelectual em Bases Externas by Subject "Taxas de juros"
Now showing items 1-20 of 23
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An analysis of the degrees of persistence of inflation, inflation expectations and real interest rate in Brazil
2011This paper makes use of Auto-Regressive Fractionally Integrated (ARFIMA) models, as well as unit root tests with structural breaks, to examine the IPCA (the official inflation rate), inflation expectations, and the real ... -
Approximating risk premium on a parametric arbitrage-free term structure model
2014-11-14In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids the cost of a ... -
Are interest rate options important for the assessment of interest rate risk?
2009-08Fixed income options contain substantial information on the price of interest rate volatility risk. In this paper, we ask if those options will also provide information related to other moments of the objective distribution ... -
Can jurisdictional uncertainty and capital controls explain the high level of real interest rates in Brazil? Evidence from panel data
2007This paper tests the assertion, popularized by Arida et al. (2005), that risks associated with the jurisdiction and currency inconvertibility are relevant determinants of the high level of short-term real interest rates ... -
A classroom experiment on banking
2012This classroom experiment uses double oral auction credit markets to illustrate the role of banks as financial intermediaries. The experiment demonstrates how risk affects market interest rates in the presence of asymmetric ... -
Constrained efficiency without commitment
2015-12We consider an infinite horizon economy where agents share income risks by trading a complete set of contingent claims but cannot commit to their promises. Allocations are restricted to be self-enforcing relative to autarchic ... -
Do interest rate options contain information about excess returns?
2011-09-01There is strong empirical evidence that long-term interest rates contain a time-varying risk premium. Options may contain valuable information about this risk premium because their prices are sensitive to the underlying ... -
Forecasting bond yields with segmented term structure models
2018-02Inspired by the preferred habitat theory, we propose parametric interest rate models that split the term structure into segments. The proposed models are compared with successful term structure benchmarks based on out-of-sample ... -
Forecasting the Brazilian term structure using macroeconomic factors
2014-03-26This paper studies the forecasting of the Brazilian interest rate term structure using common factors from a wide database of 171 macroeconomic series, from the period of January 2000 to May 2012. Firstly the model proposed ... -
Immunization of fixed-income portfolios using an exponential parametric model
2014-11-14Litterman e Scheinkman (1991) mostram que mesmo uma carteira de renda fixa duration imunizada (neutra) pode sofrer grandes perdas e, portanto, propõem fazer hedge de carteiras utilizando a análise de componentes principais. ... -
Inflação, dengue e esperanto financeiro
2003-10-03 -
Intervenção governamental, crescimento e bem-estar: efeitos da política de equalização das taxas de juros do crédito rural nas regiões brasileiras
2014-08-01The paper's overall objective is to evaluate the impacts of government spending with the Interest Rates Equalization (IRE) policy in the economic growth and welfare of the five Brazilian macro-regions. Simulations were ... -
Juros, interesses, bancos...
2006-10-03 -
Metas inflacionárias: a análise convencional e um modelo alternativo
2008-06-01Inflation targeting: the conventional analysis and an alternative model. This article has two aims: the first one is to present a formal model of the monetary policy identified generally as inflation targeting policy, an ... -
Metas inflacionárias: a análise convencional e um modelo alternativo
2008Inflation targeting: the conventional analysis and an alternative model. This article has two aims: the first one is to present a formal model of the monetary policy identified generally as 'inflation targeting policy', ... -
Ponzi e Felipe
2006-10-03 -
Pricing options embedded in debentures with credit risk
2016-03-10In this article, we develop a strategy to simultaneously extract a yield curve and price call options embedded in debentures subject to credit risk. The implementation is based on a combination of two methods: term structure ... -
Proibição da capitalização de juros e o Poder Judiciário: equívocos na aplicação de teorias econômicas sobre juros simples e compostos
2014-05-01This article aims to point out the shortcomings in ordinary interests’ regime and reflections about these negative effects on financial contracts. The premise, different of the common sense, is that the borrower of a loan ... -
Prudência versus concorrência
2005-10-03As altas taxas de juros praticadas no país são apontadas como um dos maiores obstáculos ao crescimento econômico. Ao mesmo tempo, graças a elas, os bancos vêm batendo recordes de lucratividade, superiores a muitos outros ... -
Reading the fine print: information disclosure in the Brazilian credit card market
2016Consumer credit regulations usually require that lenders disclose interest rates. However, in the absence of specific prominence requirements, lenders can conceal the interest rate in the fine print while still complying ...
