Efeito Fisher, incerteza e aversão ao risco uma análise empírica para o Brasil

Resumo

This paper aims to estimate a Fisher relation embedded with uncertainty for Brazil during the period Jan/75 - Sept/2000. So far the empirical literature for the Brazilian economy only considered a simple one-toone relation between expected inflation and nominal interest rates, which means that agents were risk neutral and any kind of uncertainty was simply "added" to the error term. In the model we consider agents incorporate this risk premium in the nominal rate through the covariance between the inflation rate and consumption growth. Our estimates show that the risk premium is high for hyperinflationary periods, which implies a weaker Fisher effect. Moreover agents have a high risk aversion coefficient in these periods compared to more stable ones.