O Prêmio pela Maturidade na Estrutura a Termo das Taxas de Juros Brasileiras

Ricardo Brito, Angelo Duarte and Osmani Guillén

No 72, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper tests the Rational Expectations Hypothesis in Brazil from July 1996 to December 2001 for maturities ranging from 1 day to 1 year. It shows that (i) the estimated coefficients in the regressions of the short-run changes of the long rate on the yield spread and in the regressions of the long-run changes of the short rate on the yield spread are imprecise and unable to reject the REH. On the other hand, (ii) yield spreads highly correlated with the rational expectations forecasts of the perfect foresight spreads, but significantly more volatile than these, suggest the rejection of the REH. The alternative hypothesis of overreaction of the yield spread to the present short rate (or under-reaction of the long rate to the present short rate) seems to be a reasonable explanation to the findings that (iii) the estimated coefficients are significantly lower than unit and (iv) the residual are orthogonal to the agents information set in the regressions of the rational expectations forecasts on the yield spreads.

Date: 2003-05
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