Teoria da estrutura a termo das taxas de juros

Resumos

Este estudo usa um modelo intertemporal de equilíbrio geral de precificação de ativos para estudar a estrutura a termo das taxas de juros. Nesse modelo, expectativas, aversão ao risco, alternativas de investimento e preferências quanto ao momento do consumo atuam na determinação dos preços. Muitos fatores tradicionalmente mencionados como influentes sobre a estrutura a termo são, assim, incluídos de uma maneira plenamente condizente com o comportamento maximizador e as expectativas racionais. O modelo leva a fórmulas específicas de preços de debêntures que são bastante adequadas a testes empíricos.

Modelo de precificação de ativos; estrutura a termo; debêntures; teoria geral de equilíbrio; teste empírico


This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment alternatives, and preferences about the timing of consumption all play a role in determining bond prices. Many of the factors tradicionally mentioned as infl uencing the term structure are thus include in a way which is fully consistent with maximizing behavior and rational expectations. The model leads to specifi c formulas of bond prices which are well suited for empirical testing.

Asset pricing model; term structure; bonds; general equilibrium theory; empirical test


RAE CLÁSSICOS

Teoria da estrutura a termo das taxas de juros

John C. CoxI; Jonathan E. Ingersoll Jr.II; Stephen A. RossIII

IMIT Sloan School of Management

IIYale School of Management

IIIMIT Sloan School of Management

RESUMO

Este estudo usa um modelo intertemporal de equilíbrio geral de precificação de ativos para estudar a estrutura a termo das taxas de juros. Nesse modelo, expectativas, aversão ao risco, alternativas de investimento e preferências quanto ao momento do consumo atuam na determinação dos preços. Muitos fatores tradicionalmente mencionados como influentes sobre a estrutura a termo são, assim, incluídos de uma maneira plenamente condizente com o comportamento maximizador e as expectativas racionais. O modelo leva a fórmulas específicas de preços de debêntures que são bastante adequadas a testes empíricos.

Palavras-chave: Modelo de precificação de ativos, estrutura a termo, debêntures, teoria geral de equilíbrio, teste empírico.

ABSTRACT

This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment alternatives, and preferences about the timing of consumption all play a role in determining bond prices. Many of the factors tradicionally mentioned as infl uencing the term structure are thus include in a way which is fully consistent with maximizing behavior and rational expectations. The model leads to specifi c formulas of bond prices which are well suited for empirical testing.

Key words: Asset pricing model, term structure, bonds, general equilibrium theory, empirical test.

Texto completo disponível apenas em PDF.

Full text available only in PDF format.

Aprovado em 16.03.2007.

John C. Cox

Professor de Finanças Econômicas na MIT Sloan School of Management.

Interesses de pesquisa nas áreas de fi nanças corporativas; teoria fi nanceira; gestão de carteira.

E-mail: rbourke@mit.edu.

Endereço: Memorial Drive, 50, 02142, Cambridge, Massachusetts, USA.

Jonathan E. Ingersoll Jr.

Professor de Negócios Internacionais e Finanças da Yale School of Management.

Interesses de pesquisa nas áreas de avaliação de ativos, precifi cação de ativos e estrutura a termo de taxas de juros.

E-mail: jonathan.ingersoll@yale.edu.

Endereço: Caixa Postal 208200, 06520-8200, New Haven, CT, USA.

Stephen A. Ross

Professor de Finanças Econômicas na MIT Sloan School of Management.

Interesses de pesquisa nas áreas de finanças corporativas, mercados fi nanceiros e arbitrage pricing theory (APT).

E-mail: sgrosv@mit.edu

Endereço: Memorial Drive, 50, 02142, Cambridge, Massachusetts, USA.

Artigo convidado.

  • BEJA, A. State preference and the riskless interest rate: a Markov model of capital markets. Review of Economic Studies, v. 46, n. 3, p. 435-446, 1979.
  • BIERWAG, G. O.; GROVE, M. A. A model of the term structure of interest rates. Review of Economics and Statistics, v. 49, n. 1, p. 50-62, 1967.
  • BRENNAN, M. J.; SCHWARTZ, E. S. A continuous time approach to the pricing of bonds. Journal of Banking and Finance, v. 3, n. 2, p. 133-155, 1979.
  • CAGAN, P. The monetary dynamics of hyperinflation. In: FRIEDMAN, M. (Ed.). Studies in the Quantity Theory of Money Chicago: University of Chicago Press, 1956.
  • COX, J. C.; INGERSOLL, J. E.; ROSS, S. A. A re-examination of traditional hypotheses about the term structure of interest rates. Journal of Finance, v. 36, n. 4, p. 769-799, 1981.
  • COX, J. C.; INGERSOLL, J. E.; ROSS, S. An intertemporal general equilibrium model of asset prices. Econometrica, v. 53, n. 2, p. 363-384, 1985.
  • CULBERTSON, J. M. The term structure of interest rates. Quarterly Journal of Economics, v, 71, n. 4, p. 485-517, Nov. 1957.
  • DE LEEUW, F. A model of financial behavior In: DUESENBERRY, J. S., et al. The Brookings Quarterly Economic Model of the United States. Chicago: Rand McNally, 1965.
  • DIEFFENBACH, B. C. A quantitative theory of risk premiums on securities with an application to the term structure of interest rates. Econometica, v. 43, n.3, p. 431-454, 1975.
  • DOTHAN, L. U. On the term structure of interest rates. Journal of Financial Economics, v. 6, n. 1, p. 59-69, Mar. 1978.
  • DUESENBERRY, J. A. Business Cycles and Economic Growth New York: McGraw-Hill, 1958.
  • FELLER, W. Two singular diffusion problems. Annals of Mathematics, v. 54, n. 1, p. 173-182, 1951.
  • FISCHER, S. The demand for index bonds. Journal of Political Economy, v. 83, n. 3, p. 509-534, 1975.
  • GERMAN, M. B. A general theory of asset valuation under diffusion processes University of California, Berkeley, Institute of Business and Economic Research, Working Paper, n. 50, 1977.
  • HAKANSSON, N. H. Optimal investment and consumption strategies under risk for a class of utility functions. Econometrica, v. 38, n. 5, p. 587-607, Sept. 1970.
  • HICKS, J. R. Value and Capital 2nd ed. London: Oxford University Press, 1946.
  • JOHNSON, N. L.; KOTZ, S. Distributions in Statistics: Continuous Univariate Distributions - 2. Boston: Houghton Miffin, 1970.
  • LONG, J. B. Stock prices, inflation, and the term structure of interest rates. Journal of Financial Economics, v. 1, n. 2, p. 131-170, July 1974.
  • MALKIEL, B. G. The Term Structure of Interest Rates: Expectations and Behavior Patterns. Princeton, NJ: Princeton University Press, 1966.
  • MEISELMAN, D. The Term Structure of Interest Rates Englewood Cliffs, NJ: Prentice Hall, 1962.
  • MERTON. R. C. A dynamic general equilibrium model of the asset market and its application to the pricing of the capital structure of the firm Massachusetts Institute of Technology, Sloan School of Management, Working Paper, n. 497-570, 1970.
  • MERTON. R. C. Optimum consumption and portfolio rules in a continuous time model. Journal of Economic Theory, v. 3, n. 4, p. 373-413, 1971.
  • MERTON. R. C. Theory of rational option pricing. Bell Journal of Economics and Management Science, v. 4, p. 141-183, 1973.
  • MODIGLIANI, F.; SHILLER, R. J. Inflation, rational expectations and the term structure of interest rates. Econometrica, v. 40, sem número, p. 12- 43, 1973.
  • MODIGLIANI, F.; SUTCH, R. Innovations in interest rate policy. American Economic Review, v. 56, p. 178-197, May 1966.
  • NELSON, C. R. The Term Structure of Interest Rates New York: Basic Books, 1972.
  • OLIVER, F. W. J. Bessel functions of integer order In: ABRAMOWITZ, M. A.; STEGUN, A. I. Handbook of Mathematical Functions. New York: Dover, 1965.
  • RICHARD. S. F. An arbitrage model of the term structure of interest rates. Journal of Financial Economics, v. 6, n. 1, p. 33-57, 1978.
  • ROLL, R. The Behavior of Interest Rates New York: Basic Books, 1970.
  • ROLL, R. Investment diversification and bond maturity. Journal of Finance, v. 26, n. 1, p. 51-66, 1971.
  • RUBINSTEIN, M. E. The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics, v. 7, n. 2, p. 407-425, 1976.
  • SAMUELSON, P. A. Lifetime portfolio selection by dynamic stochastic programming. Review of Economics and Statistics, v. 51, n. 3, p. 239-246, 1959.
  • SARGENT, T. J. Rational expectations and the term structure of interest rates. Journal of Money, Credit, and Banking, v. 4, n. 1, p. 74-97, 1972.
  • SLATER, L. J. Confluent hypergeometric functions. In: ABRAMOWITZ, M.; STEGUN, I. A. (Eds.). Handbook of Mathematical Functions New York: Dover, 1965.
  • STIGLITZ, J. E. A consumption-oriented theory of demand for financial assets and the term structure of interest rates. Review of Economic Studies, v. 37, n. 3, p. 321-351, 1970.
  • VAN HORNE, J. C. Interest-rate risk and the term structure of interest rates. Journal of Political Economy, v. 73, n. 6, p. 344-351, 1965.
  • VASICEK, O. A. An equilibrium characterization of the term structure. Journal of Financial Economics, v. 5, n. 2, p. 177-188, Nov. 1977.
  • WOOD, J. H. The expectations hypothesis, the yield curve and monetary policy. Quarterly Journal of Economics, v. 78, n. 1, p. 457-470, 1964.

Datas de Publicação

  • Publicação nesta coleção
    01 Ago 2011
  • Data do Fascículo
    Jun 2007
Fundação Getulio Vargas, Escola de Administração de Empresas de S.Paulo Av 9 de Julho, 2029, 01313-902 S. Paulo - SP Brasil, Tel.: (55 11) 3799-7999, Fax: (55 11) 3799-7871 - São Paulo - SP - Brazil
E-mail: rae@fgv.br