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Abstract(s)
Este trabalho tem como objetivo estudar o comportamento das taxas de juro em Portugal, como membro da União Económica e Monetária, nomeadamente a relação de longo prazo entre as mesmas. Foram utilizados dados mensais para o período compreendido entre 2000 e 2013. Para analisar estes dados foram usados o modelo VAR e ARDL, dado que é esperado interações entre os diferentes prazos. As taxas de curto prazo revelam o fenómeno de endogeneidade e foram examinadas num modelo VAR. No longo prazo utilizou-se o modelo ARDL onde não se verificou uma relação de endogeneidade, mas sim a existência de uma relação de causalidade que vai das taxas mais curtas para as de prazo mais longo. Estes resultados indicam que os decisores de política económica podem influenciar as taxas de juro de prazo mais longo.
This work aims to study the behavior of interest rates in Portugal, being a member of the Economic and Monetary Union, including the long-term relationship between them. Monthly data was used for the period between 2000 and 2013. To analyze this data the VAR and ARDL model were used, since interactions are expected between the different periods. The short term rates reveal the phenomenon of endogeneity and were examined in a VAR model. In the long term we used the ARDL model however a relationship of endogeneity was not observed, but the existence of a casual relationship that went from shorter rates for longer term was noticed. These results indicate that the economic policy makers can influence interest rate terms.
This work aims to study the behavior of interest rates in Portugal, being a member of the Economic and Monetary Union, including the long-term relationship between them. Monthly data was used for the period between 2000 and 2013. To analyze this data the VAR and ARDL model were used, since interactions are expected between the different periods. The short term rates reveal the phenomenon of endogeneity and were examined in a VAR model. In the long term we used the ARDL model however a relationship of endogeneity was not observed, but the existence of a casual relationship that went from shorter rates for longer term was noticed. These results indicate that the economic policy makers can influence interest rate terms.
Description
Keywords
Ardl. Co-Integração Eonia Euribor Portugal Taxa de Juro Var