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Entradas de capitales extranjeros y el rendimiento de los bonos de deuda pública

In: Precios de activos internos, fundamentos globales y estabilidad financiera

Author

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  • Márcia Saraiva Leon

    (Banco Central do Brasil)

Abstract

Este documento analiza el comportamiento del rendimiento de los bonos de renta fija a cinco años en moneda nacional del gobierno federal de Brasil, en respuesta a las fluctuaciones en la entrada de capitales internacionales al país en el periodo comprendido entre enero de 2007 y julio de 2012, aplicando un método similar al de Warnock y Warnock (2005) y al de Pradhan et al. (2011). Nuestros resultados demuestran que cuando se incluye una tendencia temporal lineal en las especificaciones, el coeficiente de participación extranjera en la deuda pública federal es no significativo y de signo incorrecto (positivo). Los estudios anteriores que no incluyen una tendencia en el tiempo hallaron que este coeficiente es significativo. Además, la tasa efectiva de requerimiento de reservas afecta significativamente el rendimiento interno; sin embargo, no ha habido referencias a esta variable independiente en anteriores investigaciones y esta podría estar relacionada con los flujos de capital extranjero.

Suggested Citation

  • Márcia Saraiva Leon, 2017. "Entradas de capitales extranjeros y el rendimiento de los bonos de deuda pública," Investigación Conjunta-Joint Research, in: Gerardo Licandro & Jorge Ponce (ed.), Precios de activos internos, fundamentos globales y estabilidad financiera, edition 1, volume 1, chapter 9, pages 331-363, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
    • Handle: RePEc:cml:incocp:4sp-9
    Note: Programa de Investigación Conjunta XVII Reunión de la Red de Investigadores de Bancos Centrales del Continente Americano
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    More about this item

    Keywords

    bonos; entradas de capitales extranjeros;

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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