Taxa de juros, risco cambial e risco Brasil

Abstract

We compute and estimate the two risks that keep Brazilian interest rates extremely high: the currency risk and country risk. The Brazil country risk is directly measured from fixed income instruments and derivatives, while the currency risk is estimated via Kalman filter. Results identify a few important components of the Brazil risk, as the convertibility risk and the international financial markets conditions, measured by a credit derivative spread. The results indicate that the high domestic interest rates are associated with the uncertainty concerning the current account sustainability. Therefore, export growth is fundamental to achieve lower real interest rates, ultimately resulting in sustained growth.