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Doctoral Thesis
DOI
10.11606/T.12.2004.tde-26072004-110952
Document
Author
Full name
Paulo Beltrão Fraletti
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2004
Supervisor
Committee
Fama, Rubens (President)
Douat, Joao Carlos
Eid Junior, William
Maluf Filho, Jorge Arnaldo
Securato, Jose Roberto
Title in Portuguese
Ensaios sobre taxas de juros em reais e sua aplicação na análise financeira.
Keywords in Portuguese
estrutura temporal de juros
expectativas
Fisher
taxa livre de riscos
taxa referencial TR
Abstract in Portuguese
A solução da maioria dos problemas práticos enfrentados por administradores financeiros passa pela identificação prévia do custo de oportunidade para investimentos de diferentes prazos e riscos. Este trabalho busca, no conjunto de seus capítulos, realizar uma avaliação crítica das propriedades da estrutura temporal de taxas de juros em reais e de sua utilização como variável exógena fundamental na análise financeira. Sem a pretensão de esgotar qualquer dos temas abordados, procurou-se estabelecer a curva de juros para investimentos livres de riscos em moeda nacional e, através de um conjunto de testes empíricos e observações informais de séries de dados de mercado, identificar peculiaridades que possam invalidar a implementação no Brasil de modelos desenvolvidos no contexto internacional. Dados os aspectos característicos do mercado doméstico evidenciados nos estudos, foram apresentados modelos explicativos tanto para a formação das taxas prefixadas de período quanto para a determinação da remuneração de operações financeiras indexadas à taxa referencial TR.
Title in English
Essays on Real interest rates and their application on financial analysis.
Keywords in English
expectations
Fisher
risk-free rate
term structure of interest rates
TR reference rate
Abstract in English
The solution to most of the problems facing financial managers requires prior identification of the cost of money for different maturities and risks. This paper aims, in its overall content, to examine the Brazilian currency yield curve’s properties and its supporting role in financial analysis. With no intention of exhausting any of the tackled subjects, the Real risk-free term structure was defined and a set of empirical tests performed to identify, with the support of additional data observation, local market’s peculiarities that might prevent international models from being accurately applied in Brazil. Given the domestic market’s distinguishing features emphasized in the studies, models were proposed to explain how short term interest rates are determined in the marketplace for derivatives, and to allow the pricing of financial instruments indexed to the so called TR benchmark (Taxa Referencial).
 
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Publishing Date
2004-07-30
 
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