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Author: Rodrigo Cabral Publisher: ISBN: Category : Languages : en Pages : 56
Book Description
This paper characterizes the term structure of Treasury bond yields for Brazil, and estimates a Nelson-Siegel Model to reproduce its stylized facts for the period 2004-2010. For this purpose, this paper uses a software developed by Fund staff. In addition, the paper estimates two versions of the Nelson-Siegel Model that incorporates macroeconomic variables with the aim of assessing the dynamic interactions between the yield curve and the macroeconomy.
Author: Rodrigo Cabral Publisher: ISBN: Category : Languages : en Pages : 56
Book Description
This paper characterizes the term structure of Treasury bond yields for Brazil, and estimates a Nelson-Siegel Model to reproduce its stylized facts for the period 2004-2010. For this purpose, this paper uses a software developed by Fund staff. In addition, the paper estimates two versions of the Nelson-Siegel Model that incorporates macroeconomic variables with the aim of assessing the dynamic interactions between the yield curve and the macroeconomy.
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.
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: 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: Carlos Heitor Campani Publisher: ISBN: Category : Languages : en Pages : 14
Book Description
This paper aims at predicting the volatility term structure of a given asset. The model is based on the GARCH modeling of the asset's volatility, from which the term structure is derived. We test if the model is able to accommodate the term structure response to volatility shocks. Using data from two important Brazilian companies, the model indeed improved standard predictions for the volatility term structure by relating the size of the volatility shock to the maturity of the option used to estimate the asset's volatility.
Author: Rodrigo Cabral
Author: Rodrigo Cabral
Author: 
Author: Mr.Richard Munclinger
Author: Denisard C. O. Alves
Author: Lucélia Vaz
Author: Emerson Fernandes Marçal
Author: 
Author: Priscila Fernandes Ribeiro
Author: Marco S. Matsumura
Author: Carlos Heitor Campani