Componentes de Curto e Longo Prazo das Taxas de Juros no Brasil

Carlos Araújo and Osmani Guillén

No 55, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This article analyses the behavior of the Brazilian interest rate, using three measures of rate of return. The series are decomposed into their long run and short run components, as proposed by Vahid and Engle (1993). The results suggest a convergence of the rates to one long run equilibrium. We identify the dominance of the long run component in the composition of the C-Bond rate of return, whilst the short run component dominates in the case of the covered interest premium. There is, however, no clear dominance in the case of the uncovered interest premium.

Date: 2002-11
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