Um estudo empírico da evolução das taxas de juros de curto prazo no Brasil desde o ´Plano Real´

Abstract

In this work, a semi-empirical study of the evolution of the short interest rate inBrazil, on the basis of period 01/01/95-31/12/99, was made with the aid of a method developed recently by Aphabai, Wilmott, Oztukel and others. The main objective was to obtain a estimate of ´future´ interest rate from an initial rate, that was consistent with the historical data. Simulations had been carried through Monte Carlo Method and gotten the trajectories of the interest rate for a period of 150 days the front. According to the results, there is a trend of the rate in approaching to the historical average of the analyzed period. This made possible that a preliminary estimate of the ‘ mean reversion rate’ was also made. Confrontations with other similar studies and the data of the market had been carried through. This shows the plausibility and effectiveness of the method implemented here.