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标题：The Determinants of Brazilian Interest Rates for Government Bonds
其他标题：The Determinants of Brazilian Interest Rates for Government Bonds
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作者：André Cabus Klotzle ; Walter Lee Ness Jr. ; Marcelo Cabus Klotzle 等
期刊名称：Sistemas Gestão
印刷版ISSN：1980-5160
出版年度：2011
卷号：6
期号：2
页码：146-166
DOI：10.7177/sg.2011.V6.N2.A5
语种：Portuguese
出版社：Universidade Federal Fluminense
摘要：Este trabalho objetiva, por meio de um modelo de paridade coberta de juros ajustada aos riscos-paíse demais riscos, verificar estatisticamente quais são os determinantes externos da taxa de juros domésticabrasileira diária para títulos públicos pré-fixados de longo prazo — no caso, as Notas do Tesouro NacionalSérie F (NTN-Fs), com vencimento em 2017. A variável dependente foi definida como a taxa de retorno efetivadas respectivas NTN-Fs, ao passo que as variáveis independentes foram a taxa livre de risco dos Treasuriesnorte-americanos de 10 anos, o prêmio de risco Brasil e o risco cambial. Tendo em vista que as variáveisindependentes possuem fortes relações de multicolinearidade, optou-se por rodar um modelo VAR e, a partirdo mesmo, extrair os graus de endogeneidade de cada variável. As principais ferramentas do modelo VAR— decomposição de variância e funções impulso-resposta — permitiram tirar importantes conclusões acercados impactos defasados de variações ou choques ocorridos nas variáveis independentes sobre a taxa dejuros das NTN-Fs analisadas. Os resultados comprovaram que a taxa de juros das NTN-Fs é a variável maisendógena do modelo, e mostraram que o risco cambial é a menos endógena. A conclusão mais relevante foiter se observado uma correlação negativa entre a taxa de juros livre de risco dos Treasuries norte-americanosde 10 anos e a dos títulos de longo prazo brasileiros em 2007, contrapondo a expectativa inicial de quehouvesse uma relação positiva entre essas variáveis.↓This study aims to verify statistically, through the utilization of an interest rate covered parity model adjusted to the country-risk and other risks, what are the external determinants of daily Brazilian domestic in- terest rates for long-term public fixed income securities — in this case, the so-called National Treasury Notes – Series F (NTN-Fs) with maturity in 2017. The dependent variable was defined as being the yield-to-maturity of the respective NTN-Fs, whereas the independent variables were the risk-free rates of the US 10-year Trea- suries, the Brazilian country-risk and the exchange rate risk. Given that the independent variables have strong multicollinearity, we opted for using a VAR model and, based on it, obtain the endogeneity degree of each variable. The main VAR model tools — which are the variance decomposition and the impulse-response func- tions — allowed us to make important conclusions about the delayed impacts of variations or shocks occurred in the independent variables over the analyzed NTN-Fs interest rates. The results proved that NTN-Fs interest rate is the most endogenous variable of the model, and the exchange rate risk is the least endogenous one. The most important conclusion was the evidence that there was a negative correlation between the risk-free rate of the US 10-year Treasuries and Brazilian long-run securities interest rates in 2007, opposing the previous expectation that there would be a positive relation between these variables.
其他摘要：This study aims to verify statistically, through the utilization of an interest rate covered parity model adjusted to the country-risk and other risks, what are the external determinants of daily Brazilian domestic in- terest rates for long-term public fixed income securities — in this case, the so-called National Treasury Notes – Series F (NTN-Fs) with maturity in 2017. The dependent variable was defined as being the yield-to-maturity of the respective NTN-Fs, whereas the independent variables were the risk-free rates of the US 10-year Trea- suries, the Brazilian country-risk and the exchange rate risk. Given that the independent variables have strong multicollinearity, we opted for using a VAR model and, based on it, obtain the endogeneity degree of each variable. The main VAR model tools — which are the variance decomposition and the impulse-response func- tions — allowed us to make important conclusions about the delayed impacts of variations or shocks occurred in the independent variables over the analyzed NTN-Fs interest rates. The results proved that NTN-Fs interest rate is the most endogenous variable of the model, and the exchange rate risk is the least endogenous one. The most important conclusion was the evidence that there was a negative correlation between the risk-free rate of the US 10-year Treasuries and Brazilian long-run securities interest rates in 2007, opposing the previous expectation that there would be a positive relation between these variables.
关键词：Adjusted Interest Rate Covered Parity; NTN-F; U.S. Treasuries; Risk-free Rate; Country-risk; Exchange Rate Risk; VAR Model
其他关键词：Adjusted Interest Rate Covered Parity; NTN-F; U.S. Treasuries; Risk-free Rate; Country-risk; Exchange Rate Risk; VAR Model