An empirical analysis of the brazilian term structure of interest rates: using the kalman filter algorithm to estimate the vasicek and cox, ingersoll and ross models PDF Download
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Author: Publisher: ISBN: Category : Languages : pt-BR Pages :
Book Description
A importância da estrutura a termo da taxa de juros dificilmente éexagerada. A estrutura a termo agrega de forma sucinta uma quantidade enormede informação sobre o estado presente e sobre as expectativas futuras da economiade um país. Nesse trabalho, utilizando técnicas de estimação por filtro de Kalman, estimamos, com dados brasileiros, quatro modelos teóricos da ETTJ, todos casosparticulares do modelo afim estudado por Duffie e Kan (1996). Analisamos oresultado de nossas estimações tendo em vista o comportamento histórico daETTJ brasileira durante o período. Comparamos os modelos entre si, apontandopara aqueles que melhor se ajustam aos dados observados. Avaliamos que nossosresultados suportam resultados anteriores de que a hipótese das expectativas não éverificada na ETTJ brasileira.
Author: Publisher: ISBN: Category : Languages : pt-BR Pages :
Book Description
A importância da estrutura a termo da taxa de juros dificilmente éexagerada. A estrutura a termo agrega de forma sucinta uma quantidade enormede informação sobre o estado presente e sobre as expectativas futuras da economiade um país. Nesse trabalho, utilizando técnicas de estimação por filtro de Kalman, estimamos, com dados brasileiros, quatro modelos teóricos da ETTJ, todos casosparticulares do modelo afim estudado por Duffie e Kan (1996). Analisamos oresultado de nossas estimações tendo em vista o comportamento histórico daETTJ brasileira durante o período. Comparamos os modelos entre si, apontandopara aqueles que melhor se ajustam aos dados observados. Avaliamos que nossosresultados suportam resultados anteriores de que a hipótese das expectativas não éverificada na ETTJ brasileira.
Author: Ren-Raw Chen Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper presents a method for estimating multi-factor versions of the Cox, Ingersoll, Ross (1985b) model of the term structure of interest rates. The fixed parameters in one, two, and three factor models are estimated by applying an approximate maximum likelihood estimator in a state-space model using data for the U.S. treasury market. A nonlinear Kalman filter is used to estimate the unobservable factors. Multi-factor models are necessary to characterize the changing shape of the yield curve over time, and the statistical tests support the case for two and three factor models. A three factor model would be able to incorporate random variation in short term interest rates, long term rates, and interest rate volatility.
Author: Mr.Richard Munclinger Publisher: International Monetary Fund ISBN: 1455211931 Category : Business & Economics Languages : en Pages : 33
Book Description
We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics of the term structure. Two regimes are identified, a high level and a high volatility regime and a low level and low volatility regime. Both regimes are persistent and are explained by the level and the slope of the term structure. The model is estimated using a Bayesian MCM algorithm that produces consistent standard errors and a reliable method for testing the differences between the model parameters.
Author: Denisard C. O. Alves Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
The purpose of this study is to identify the effects of monetary policy and macroeconomic shocks on the dynamics of the Brazilian term structure of interest rates. We estimate a near-VAR model under the identification scheme proposed by Christiano et al. (1996, 1999). The results resemble those of the US economy: monetary policy shocks flatten the term structure of interest rates. We find that monetary policy shocks in Brazil explain a significantly larger share of the dynamics of the term structure than in the USA. Finally, we analyze the importance of standard macroeconomic variables (e.g., GDP, inflation, and measure of country risk) to the dynamics of the term structure in Brazil.
Author: Tanweer Akram Publisher: ISBN: Category : Brazil Languages : en Pages : 43
Book Description
This paper empirically models the dynamics of Brazilian government bond (BGB) yields based on monthly macroeconomic data in the context of the evolution of Brazil's key macroeconomic variables. The results show that the current short-term interest rate has a decisive influence on BGBs' long-term interest rates after controlling for various key macroeconomic variables, such as inflation and industrial production or economic activity. These findings support John Maynard Keynes's claim that the central bank's actions influence the long-term interest rate on government bonds mainly through the short-term interest rate. These findings have important policy implications for Brazil. This paper relates the findings of the estimated models to ongoing debates in fiscal and monetary policies.
Author: Damir Filipovic Publisher: Springer Science & Business Media ISBN: 3540680152 Category : Mathematics Languages : en Pages : 259
Book Description
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
Author: William Roberds Publisher: ISBN: Category : Languages : en Pages :
Book Description
Recent studies have documented the existence of a quot;predictability smilequot; in the term structure of interest rates: spreads between long maturity rates and short rates predict subsequent movements in interest rates provided the long horizon is three months or less or if the long horizon is two years or more, but not for intermediate maturities. Accounts for portions of the smile involve interest rate smoothing by the Fed, time-varying risk premia, quot;Peso problems,quot; and measurement error. We take a more nearly general equilibrium approach to explaining this phenomenon and show that despite its highly restrictive nature, the Cox-Ingersoll-Ross (1985) model of the term structure can account for the predictability smile.
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Author: Ren-Raw Chen
Author: Mr.Richard Munclinger
Author: Lucélia Vaz
Author: Emerson Fernandes Marçal
Author: Denisard C. O. Alves
Author: Tanweer Akram
Author: Damir Filipovic
Author: Roger H. Brown
Author: William Roberds