Portuguese Abstract: Este artigo utiliza o analise de componentes principais para avaliar os movimentos da Estrutura a Termo brasileira. Com os fatores obtidos aplicam-se os procedimentos de imunização de carteira de renda fixa local e compara-se o resultado a uma estratégia de hedge simples...

This study analyzes the effect of the Provisional Measure 281, published at 16/02/2006 and converted in the Law no 11.312, at 27/06/2006, which reduced to zero the income tax of federal bonds achieved by non-residents, over the Brazilian term structure of interest rate. We used the daily...

The objective of this paper is to analyze the role of fiscal policy sustainability over the determinants of domestic interest rate of a group of 23 emerging market countries in the period 1996-2008. Among the analyzed countries are: South Africa, Argentina, Brazil,Bulgaria, Chile, China,...

This study aims to evaluate policies that can potentially improve the economic vulnerability of a group of emerging market countries that comprises 23 countries in the period 1998-2007, coping up to 96% of the JPMorgan Emerging Markets Bond Index Global as of December 2007. Through a panel data...

The adoption of the Taylor rule is an essential element of the New Consensus on Monetary Policy, characterized by the recent acceptance, by the orthodoxy, of money stock endogeneity. In line with the reviewed literature, a reaction function of the Brazilian Central Bank (BCB) is estimated with a...

More than eleven years after the end of hyperinflation in Brazil, domestic bond markets have been unable to lengthen the average maturity of both public and private bonds. This paper shows that the lengthening is theoretically and practically (we analyzed the experiences of Israel, Mexico and...

The issue of fiscal imbalance has become central to the current economic debate. A diagnostic Brazilian fiscal problem emphasizes that the rise in primary expenditure stems from "structural" factors, due to the growth of social security spending and social programs, resulting from the 1988...

The adoption of the Taylor rule is an essential element of the New Consensus on Monetary Policy, characterized by the recent acceptance, by the orthodoxy, of money stock endogeneity. In line with the reviewed literature, a reaction function of the Brazilian Central Bank (BCB) is estimated with a...