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The	degree	of	 
conviction	on	 
expected	future	 
changes	of	short-term 
	interest	 
determine	the	size	of	 
the	differenc...
-20%	 
3.00	 
3.50	 
4.00	 
4.50	 
5.00	 
40%	 
5.50	 
6.00	 
6.50	 
7.00	 
7.50	 
100%	 
8.00	 
0%	 
20%	 
60%	 
80%	 
6/...
• Much of the policy discussion has been misplaced. They ignore the historical role NDBs play to 
foster development at di...
Caplen 2011
0% 
40% 
45% 
15% 
50% 
25% 
55% 
60% 
40% 
65% 
5% 
10% 
20% 
30% 
35% 
Jan-02 
Apr-02 
Jul-02 
Oct-02 
Jan-03 
Apr-03 
J...
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
Keynes’s Core Contributions to Finance: what are the lessons for Brazil?
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Keynes’s Core Contributions to Finance: what are the lessons for Brazil?

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Economics in Latin America session at 12th International Conference

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Keynes’s Core Contributions to Finance: what are the lessons for Brazil?

  1. 1. The degree of conviction on expected future changes of short-term interest determine the size of the difference between D and H. demand for securities with short duration relative to horizon (D – H) Expected change in the interest rate The degree of conviction on expected future changes of short-term interest determine the size of the difference between D and H. demand securities with short duration relative to horizon (D – H) Expected change in interest rates Restating the speculative demand for money in terms of duration
  2. 2. -20% 3.00 3.50 4.00 4.50 5.00 40% 5.50 6.00 6.50 7.00 7.50 100% 8.00 0% 20% 60% 80% 6/1/00 12/1/00 6/1/01 12/1/01 6/1/02 12/1/02 6/1/03 12/1/03 6/1/04 12/1/04 6/1/05 12/1/05 6/1/06 12/1/06 6/1/07 12/1/07 6/1/08 12/1/08 6/1/09 12/1/09 6/1/10 12/1/10 6/1/11 12/1/11 6/1/12 12/1/12 6/1/13 12/1/13 6/1/14 PIMCO Total Return Fund: Historical Maturity Breakdown and Dura on 0-1 YRS 1-3 YRS 3-5 YRS 5-10 YRS 10-20 YRS 20+ YRS Dura on (in years)
  3. 3. • Much of the policy discussion has been misplaced. They ignore the historical role NDBs play to foster development at different stages of economic growth.
  4. 4. Caplen 2011
  5. 5. 0% 40% 45% 15% 50% 25% 55% 60% 40% 65% 5% 10% 20% 30% 35% Jan-02 Apr-02 Jul-02 Oct-02 Jan-03 Apr-03 Jul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr-05 Jul-05 Oct-05 Jan-06 Apr-06 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Deposit money banks asset composition Treasury securities Reserves Foreign Assets Claim on the private sector (RHS)

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