A hipótese das expectativas na estrutura a termo de juros no Brasil: uma aplicação de modelos de valor presente

Using Brazilian financial data provided by BMF we test the expectations hypothesis of interest rates present value models (Campbell and Shiller, 1987). The empirical results are ambiguos: we find a common factor for ''long'' and short interest rates (cointegration), but present-value restrictions are rejected at 10% significance but not at 5%.