Expectativas puras, preferência pela liquidez e modelos univariados "ARIMA" de Box & Jenkins projetam estruturas a termo de taxas de juros com eficiência?

Abstract

This study compared three ways of the yield to maturity curves behavior analysis in a specific negotiation time period of long term debt titles distributed at one determined period of time. Such mentioned debts are represented by two public issuers from different origins (Brazil and United States), with differentiated tenors in a Yield Time Structure (YTS), for each universe, denominated in a same currency, the United States Dollar. It was searched the definition of which methodology show greater forecasting capacity for the time data series at different time periods of YTS measurement. The time series analyses that indicate the yield behavior of the selected debts will be oriented on the principles of the Pure Expectations Theory (PET), the Liquidity Premium Theory (LPT) and the Univariate Box & Jenkins ARIMA Analysis. It was verified the low applicability of the use of PET and LPT for the YTSs in the two analyzed universes. For the ARIMA use, there is a reasonable acceptance for short term in the YTS of the United States, at the "knot" of measurement of 2 years. For the referring data to the YTS of Brazil, modeling ARIMA showed low forecasting capacity for all "knots" of the analyzed YTSs (2, 3, 4 and 5 years). For the tests of each proposed methodology, historical series of the active yields from the selected bonds had been analyzed, through the use of Excel spread sheets and the Minitab software analysis. The referring data to the historical series of the commented debts yields had been gotten at the Bloomberg L. P. electronic data system, with the previous authorization.