A taxa de juros real no Brasil : 1974-2006

Abstract

This dissertation analyzes the behavior of the real interest rate in Brazil over the period 1974-2006 using two methodologies. Firstly, ARIMA processes for the real interest rate series are estimated and tested. Secondly, different models of IS curve, with and without microfoundations, are specified and estimated. The empirical evidence points out that the ARIMA processes are not stable. The long run real interest rates computed from the ARIMA processes present large standard errors. The empirical evidence rejects the IS curve deducted from microfoundations but does not reject the traditional IS curve. Again the long run real interest rates calculated from the IS curve present large standard errors. Both methodologies, for this sample, did not yield precise estimates for the long run real interest rate.