Araújo, Carlos Hamilton Vasconcelos; Guillén, Osmani … - Central Bank of Brazil, Research Department - 2002
This article analyses the behavior of the Brazilian interest rate, using three measures of rate of return. The series are decomposed into their long run and short run components, as proposed by Vahid and Engle (1993). The results suggest a convergence of the rates to one long run equilibrium. We...