Curva a termo para o risco de conversibilidade: uma abordagem utilizando o diferencial de juros / Convertibility risk yield curve: an approach using the interest spread

AUTOR(ES)

Fernanda Tolaini Gomes Pereira

DATA DE PUBLICAÇÃO

2009

RESUMO

This paper has the purpose of explaining the fluctuation of the convertibility risk (spread) through an alternative to the commonly used on the literature, exchange rate parity differential (DPC) measurement. The Brazilian convertibility risk will be calculated as the differential between the interest rate in dollars paid in Brazil and interest rate in dollars paid within the United States. The work extend the existing literature in two main aspects: It uses the futures traded in exchanges for the estimation of interest curves in both countries and uses a statistic dynamic model without arbritage restriction proposed by Diebold and Li (2006) for the estimation of both yield curves, impossing further arbritage restrictions to model the risk curve by spread. The model might be used to estimate the convertibility risk perception, short term forecast the spread and evaluate the effects of monetary policy over the market risk perception

ASSUNTO(S)

term structure economia cambial cupom estrutura a termo convertibility risk risco de conversibilidade cupom cambial

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