Author: Lucélia VazPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Functional Data Analysis for Brazilian Term Structure of Interest Rate
Author: Lucélia VazAn 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
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.
Exploration of the Brazilian Term Structure in a Hidden Markov Framework
Author: Mr.Richard MunclingerPublisher: 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.
Evaluating the Existence of Structural Change in the Brazilian Term Structure of Interest
Author: Emerson Fernandes MarçalPublisher:
ISBN:
Category : Brazil
Languages : en
Pages : 39
Book Description
Term structure of interest rates and macroeconomic dynamics in brazil
Author: Publisher:
ISBN:
Category :
Languages : pt-BR
Pages :
Book Description
Existe uma relação muito próxima entre variáveis macroeconômicas e a estrutura a termo da taxa de juros no Brasil. Caracterizamos esta relação utilizando a recente abordagem de macro-finanças adaptada para o caso de uma economia emergente. Podemos concluir que (i) a curva de juros possui informações adicionais às de diversas variáveis com relação ao crescimento futuro da economia; (ii) o poder de previsão é crescente com a durabilidade dos bens e é decorrente essencialmente das expectativas de variações futuras na taxa de curto-prazo; (iii) as variáveis cíclicas da economia (hiato do produto, taxa de inflação e variação do câmbio nominal) explicam até 53% da variação das taxas; (iv) o restante das variações, representado por fatores não-observáveis, parece estar relacionado à variação da aversão ao risco internacional e das expectativas de inflação e (v) a noção de grande vulnerabilidade externa da economia brasileira no período estudado é corroborada pelo papel relevante da variação do câmbio nominal, que explica até 41% da variação das taxas.
The Economic Determinants of the Brazilian Nominal Term Structure of Interest Rates
Author: Denisard C. O. AlvesPublisher:
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.
Brazilian Review of Econometrics
Author: Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives
Author: Amia SantiniPublisher: Springer Nature
ISBN: 3658374500
Category : Business & Economics
Languages : en
Pages : 82
Book Description
The phenomenon of excess volatility in the context of share prices and of the term structure of interest rates has been documented by the existing literature, highlighting the limitations of traditional models of rational expectations and of reliance on the efficient market hypothesis. The data violates the bounds on volatility that are derived from them. Amia Santini studies the possible shortcomings of the methodologies used to uncover those inconsistencies, and the potential explanations of the observed phenomenon that can be considered in line with the rational expectation framework. She focuses on a relatively newer field of study: derivative instruments. Previous results of excess volatility, recovered with a worldwide focus, are presented and an empirical analysis is performed to assess whether a similar outcome would be obtained in the Eurozone market. The exploration of financial information that falls underneath the risk-neutral measure, such as derivative prices, reduces the importance of time-varying discount rates as a potential explanation of excess volatility. In fact, the martingale measure already incorporates all potential variation in risk premia, which is the main driver of changes in discount rates. This opens the door to different and innovative prospects, and specific attention is paid to a new model for investor behaviour, that of natural expectations.
A Guide to IMF Stress Testing
Author: Ms.Li L OngPublisher: International Monetary Fund
ISBN: 1498370411
Category : Business & Economics
Languages : en
Pages : 610
Book Description
The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit).
Term-Structure Models
Author: Damir FilipovicPublisher: 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.