A taxa de juros real no Brasil : 1974-2006

• Ano de defesa: 2007
• Autor(a) principal: Teixeira, Manoella Rodrigues
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Programa de Pós-graduação em Engenharia de Produção; Estratégia-Apoio Logístico-Tecnologia e Trabalho
• Palavras-chave em Português: Engenharia de produção; Taxa de juros; Brasil; Taxa de juros real; Curva IS; Taxa de juros natural; Real interest rate; IS curve; Natural interest rate; CNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAO
• Link de acesso: https://app.uff.br/riuff/handle/1/18019

This dissertation analyzes the behavior of the real interest rate in Brazil over the period 1974-2006 using two methodologies. Firstly, ARIMA processes for the real interest rate series are estimated and tested. Secondly, different models of IS curve, with and without microfoundations, are specified and estimated. The empirical evidence points out that the ARIMA processes are not stable. The long run real interest rates computed from the ARIMA processes present large standard errors. The empirical evidence rejects the IS curve deducted from microfoundations but does not reject the traditional IS curve. Again the long run real interest rates calculated from the IS curve present large standard errors. Both methodologies, for this sample, did not yield precise estimates for the long run real interest rate.