Um modelo para análise da administração da maturidade da dívida mobiliária federal

Abstract

From July 1994 to October 1997 Brazilian public debt-managing authorities aimed to increase the debtís average maturity by issuing nominal securities with increasing maturities. In this paper we apply a model to analyze the effects that changes in the debtís average maturity might have on assets returns. The model elucidates the reasons for the higher risk premia in long securities as compared to shorter ones and shows that in order to increase the proportion of long-term securities in total debt government must raise interest differentials even further. When applied to the Brazilian case, the model is able to explain a significant proportion of observed movements in securities risk premia.