A Estrutura a Termo das Taxas de Juros no Brasil: Testando a Hipótese de Expectativas

Abstract

The study of term structure of interest rate is at its early stages for Brazil. In this paper the expectation hypothesis is tested using the available test in the literature. The results of the tests suggest that the expectation hypothesis is insuficient to fully explain Brazilian data. Two possible explanations are suggested: I) the results are consistent with Macallum hypothesis (1994) of interest rate smoothing by Central Bank and; II) the term premium could have changed due to the macroeconomic instabilify of Brazilian economy in the period covered by the sample.