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Master's Dissertation
DOI
https://doi.org/10.11606/D.12.2001.tde-10022022-153341
Document
Author
Full name
Sérgio Rodrigo Vale
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2001
Supervisor
Committee
Rocha, Fabiana Fontes (President)
Fava, Vera Lucia
Lima, Gilberto Tadeu
Title in Portuguese
Uma avaliação empírica do efeito Fisher com incerteza no Brasil
Keywords in Portuguese
Economia política
juros
Abstract in Portuguese
O presente trabalho tem o objetivo de estimar a equação de Fisher com incerteza no Brasil para o período de janeiro de 1974 a setembro de 2000. Os trabalhos empíricos feitos até agora no Brasil consideravam que apenas a taxa de inflação poderia ter caráter preditivo sobre a taxa de juros nominal. Nesses modelos, o agente era considerado neutro ao risco e qualquer tipo de incerteza decorrida da existência de uma inflação elevada não era considerada empiricamente. No modelo aqui apresentado os agentes incorporam esse prêmio de risco na taxa de juros nominal através da covariância entre a taxa de inflação e a taxa de crescimento de consumo. Relações contrárias entre essas duas variáveis indicariam uma perda de riqueza real, advinda da taxa de inflação maior, e um consumo menor. Para evitar essas perdas o agente pede uma taxa de juros nominal maior hoje para poder consumir mais no futuro. A idéia, assim, é de que o agente pode suavizar seu consumo via alterações na taxa de juros nominais. Para corroborar esse modelo realizamos testes de cointegração e de restrição sobre as equações estruturais para as variáveis do modelo, os quais se mostraram significativos, indicando que existe um prêmio de risco na taxa de juros nominal advindo da covariância entre consumo e inflação.
Title in English
An empirical assessment of the Fisher effect with uncertainty in Brazil
Keywords in English
Interest
Political economy
Abstract in English
The present work has the objective to estimate the equation of Fisher with uncertainty in Brazil for the period of January of 1974 to the September of 2000. The empirical works made so far in Brazil considered that only inflation could have preditictive power on the interest rate. In these models, the economic agent was considered neutral to risk and any type of passed uncertainty of the existence of a high inflation was not considered. In our model the agents incorporate this risk premium in the interest rate through the covariance between inflation and the growth rate of consumption. Contrary relations between these two variables would indicate a loss of real wealth, happened of a bigger inflation, and a lesser consumption. To prevent these losses the agent asks for a bigger interest rate today to be able to consume more in the future. The idea, thus, is that the agent can smooth his consumption by alterations in the interest rate. To corroborate this model we carry through cointegration and restriction on the structural equations tests for the variables ofthe model, which had shown significant, indicating that it exists a risk premium in the interest rate happened ofthe covariance between consumption and inflation.
 
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Publishing Date
2022-02-10
 
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