Term Structure Fitting, Regime Change and the Expectation Hypotheses: A Study for Brazil

Informações

Código: FIN1057
Divisão: FIN - Finanças
Tema de Interesse: FIN-A - Gestão de Investimentos

Autores

Gyorgy Varga

Resumo

This is the first Expectation Hypothesis (EH) study to address the problem of termstructure fitting. We also test the effect of different economic regime. The overall results doesnot reject REH for the period before 1999 where the regime was a fixed foreign exchangerate, but strongly rejected for the period with floating exchange rate. In both cases we findpredictability for short term rates and time varying risk premium. Other studies got animprecise result and are unable to reject REH. We show that the foreign exchange rate regimedoes have a great impact in the result.

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