Resumo

MALDONADO, Isabel Alexandra Neves  e  PINHO, Joaquim Carlos da Costa. Hipótese das expectativas e alteração na estrutura temporal das taxas de juro. Tékhne [online]. 2005, n.4, pp.59-85. ISSN 1645-9911.

In this paper we examine the Expectations Hypothesis of the term structure of interest rates using a weekly data base constructed with data from the Portuguese Government public debt. We study the relation between spot rates and the term structure of interest rates based on Rational Expectations Hypothesis tests. The results indicate that the term structure contains information about the future movements of spot rates, but the tests reject the Expectation Hypothesis. Besides, the GARCH estimations suggest that this result is connected whit the existence of variations in the risk premium of interest rates.

Palavras-chave : e expectations hypothesis; interest rate; term structure of interest rates.

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