Análise da Estrutura a Termo das Taxas de Juros

Ronie Peterson Dario; João Luis Gonçalves; Francisco Itamarati Secolo Ganacim; Silvia Franciele Padilha Frota

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Análise da Estrutura a Termo das Taxas de Juros

Ronie Peterson Dario, João Luis Gonçalves, Francisco Itamarati Secolo Ganacim, Silvia Franciele Padilha Frota

Resumo

A Estrutura a Termo das Taxas de Juros (ETTJ) é um elemento essencial para formulação da política monetária. Ela é capaz de indicar as expectativas do mercado financeiro em relação as taxas de juros futuras. Nesse trabalho estudamos a formação da ETTJ com enfoque maior na matemática envolvida, pois na literatura esse assunto em geral é tratado apenas com foco na economia. Demonstramos as relações matemáticas entre as taxas de juros à vista, futuras e instantâneas. Estudamos também o modelo matemático de previsão da curva de juros proposta por Svensson. Esse modelo é de fácil aplicação pois necessita de poucos parâmetros para ajustar a curva de juros. Por esse motivo esse modelo tem sido amplamente usado em Bancos Centrais de diversos países inclusive pelo Banco Central do Brasil. Concluímos com uma aplicação do modelo de Svensson utilizando os preços dos títulos prefixados do Tesouro Direto.

Palavras-chave

estrutura a termo das taxas de juros; curva de juros.

Texto completo:

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Revista Ciências Exatas e Naturais - RECEN. Universidade Estadual do Centro-Oeste - UNICENTRO/PR, BRASIL.

Licenciada sob uma Licença Creative Common

ISSN 2175-5620 ON LINE; 1518-0352 IMPRESSO

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Análise da Estrutura a Termo das Taxas de Juros

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