| Grant number: | 12/11720-1 |
| Support Opportunities: | Scholarships abroad - Research |
| Start date: | February 15, 2013 |
| End date: | February 14, 2014 |
| Field of knowledge: | Applied Social Sciences - Economics - International Economy |
| Principal Investigator: | Alex Luiz Ferreira |
| Grantee: | Alex Luiz Ferreira |
| Host Investigator: | Michael John Moore |
| Host Institution: | Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto (FEARP). Universidade de São Paulo (USP). Ribeirão Preto , SP, Brazil |
| Institution abroad: | Queen's University, Canada |
Abstract This research project looks into why excess returns on Brazilian treasury bonds, even when adjusted for proxies of default risk and expected exchange rate changes, are so high when compared to those of the United States of America. According to international macroeconomic theory, the higher market integration between the two economies from the 1990s, ought to have led to a convergence of the returns. Specifically, the central question is whether adjusted excess returns on the Brazilian treasury bonds can be explained by a version of the Consumption Capital Asset Pricing Model, which will be applied to data available from the 2000s onwards. Having made some assumptions about the functional form the of instantaneous utility function, we will investigate whether and to which extent the adjusted excessive returns are due to currency risk and transaction costs. (AU) | |
| News published in Agência FAPESP Newsletter about the scholarship: | |
| More itemsLess items | |
| TITULO | |
| Articles published in other media outlets ( ): | |
| More itemsLess items | |
| VEICULO: TITULO (DATA) | |
| VEICULO: TITULO (DATA) | |