Term Structure Of Interest Rates
Mostrando 1-12 de 30 artigos, teses e dissertações.
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1. Central Bank Communication Affects the Term-Structure of Interest Rates
Analisamos empiricamente como as atas do Banco Central do Brasil (BCB) afetam a estrutura a termos da taxa de juros. Usando Análise de Componentes Principais, construímos uma medida do conteúdo dessas atas que reflete o otimismo dos gestores de política monetária em relação às condições economicas. Nomeamos essa medida de Fator de Otimismo (OF). Qu
Rev. Bras. Econ.. Publicado em: 2015-06
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2. Evaluating the existence of structural change in the brazilian term structure of interest : evidence based on cointegration models with structural break
This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministi
Publicado em: 17/09/2012
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3. Evaluating the existence of structural change in the Brazilian term structure of interest: evidence based on cointegration models with structural break
This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegra- tion techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the determin-
Publicado em: 05/07/2012
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4. Estimação e previsão da estrutura a termo das taxas de juros usando técnicas de inteligência computacional / Term structure of interest rate modeling and forecasting using computational intelligence techniques
This work proposes the term structure of interest rates modeling and forecasting using computational intelligence techniques, based on data from the US and Brazilian fixed income markets. The yield curve modeling includes the use of some evolutionary computation methods like Genetic Algorithms, Differential Evolution and Evolution Strategies in comparison wi
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 25/06/2012
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5. A HIERARCHICAL FACTOR MODEL FOR THE JOINT PREDICTION OF CORPORATE BOND YIELDS / MODELO HIERÁRQUICO DE FATORES PARA A PREVISÃO CONJUNTA DAS ESTRUTURAS A TERMO DAS TAXAS DE JUROS DE CORPORATE BONDS
O objetivo deste trabalho é a construção de um modelo integrado para previsão da estrutura a termo da taxa de juros, referentes a títulos corporativos americanos para diferentes níveis de risco. A metodologia é baseada no modelo de Nelson e Siegel (1987), com extensões propostas por Diebold e Li (2006) e Diebold, Li e Yue (2008). Modelamos a estrutur
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 14/09/2011
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6. Calibragem do modelo generalizado black-karasinski para títulos de desconto
Esta dissertação tem como objetivo apresentar um caso específico de Interpolação da Estrutura a Termo da Taxa de Juros (ETTJ) com base no processo estocástico que de- termina a taxa de juros, o qual é aqui denominado por interpolação estrutural. Este método estrutural permite a calibração das curvas de desconto e de rendimento, por meio do ajuste
Publicado em: 2010
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7. Essays in macroeconomy and dynamic term-structure models
This thesis is composed of three articles with the subjects of macroeconomics and - nance. Each article corresponds to a chapter and is done in paper format. In the rst article, which was done with Axel Simonsen, we model and estimate a small open economy for the Canadian economy in a two country General Equilibrium (DSGE) framework. We show that it is imp
Publicado em: 19/12/2009
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8. Term structure dynamics and no-arbitrage under the taylor rule
The term structure interest rate determination is one of the main subjects of the financial assets management. Considering the great importance of the financial assets for the economic policies conduction it is basic to understand structure is determined. The main purpose of this study is to estimate the term structure of Brazilian interest rates together wi
Publicado em: 18/08/2009
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9. Sinalização de política monetária e movimentos na estrutura a termo da taxa de juros no Brasil
This paper examines how monetary policy decisions in Brazil, regarding short term interest rates, have affected the term structure of interest rate. We apply an event study methodology in two distinct periods: between January 2000 and August 2003, right after the implementation of the inflation targeting in Brazil, and between September 2003 and July 2008. T
Publicado em: 13/05/2009
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10. Estimação de modelos de estrutura a termo: aplicação para o Brasil dos modelos afim de Vasicek e CIR 2009 / Estimation of term structure models: application to Brazil of affine models Vasicek and CIR. 2009
In this work, we studied the Brazilian term structure of interest rate for the recent period, from January 2004 to March 2009, exploring the characteristics implied in the swap rates and ID contracts. Based on the theoretical framework of affine models, we analyze the models of Vasicek (1977) and Cox, Ingersoll and Ross (1985), two particular cases of affine
Publicado em: 2009
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11. EXPERIMENTS ON FORECASTING THE AMERICAN TERM STRUCTURE OF INTEREST RATES: MEAN REVERSION, INERTIA AND INFLUENCE OF MACROECONOMIC VARIABLES / EXPERIMENTOS DE PREVISÃO DA ESTRUTURA A TERMO DA TAXA DE JUROS AMERICANA: REVERSÃO À MÉDIA, INÉRCIA E INFLUÊNCIA DE VARIÁVEIS MACROECONÔMICAS
This work proposes a model with mean reversion and inertia for the yields and the loadings of the Nelson and Siegel (1987) factors, and includes selected macroeconomic variables. The generated forecasts are compared with the Random Walk and the Diebold e Li (2006) methodology.
Publicado em: 2009
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12. JOINT MODELING OF FIXED INTEREST RATES LOG-RETURNS BASED ON TAIL DEPENDENCE MEASURES / MODELAGEM DA DISTRIBUIÇÃO CONJUNTA DOS LOG-RETORNOS DE TAXAS DE JUROS PRÉ-FIXADAS A PARTIR DE MEDIDAS DE DEPENDÊNCIA DE CAUDA
Using the concepts of copula we can represent and interpret the dependence structure presented in random vectors with clarity, particularly in bivariate vectors. In bivariate analysis, the role of both heterogeneous tail-dependence coefficient and homogenous tail- dependence coefficient are to study a measure of dependence when variables reach extreme values
Publicado em: 2008