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The Term Structure of the Spreads between Portuguese and German Interest Rates during Stage II of EMU

Fonseca, José Soares da
Fonte: FEUC. Grupo de Estudos Monetários e Financeiros Publicador: FEUC. Grupo de Estudos Monetários e Financeiros
Tipo: Trabalho em Andamento
Português
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55.8%
The spread between interest rates denominated in different currencies represents the expectations on exchange rate changes, according to the uncovered interest rate parity condition. In the present research the short- and long-term spreads between Portuguese and German Treasury bonds interest rates are studied, using weekly data covering the period from 1993-08-02 to 1998-12-14, supplied by the Banco de Portugal. The interdependence of the two spreads is estimated using cointegration methods, and their dynamic adjustment to the long-term relation is determined using impulse response analysis. The main conclusions of this research are that there was a structural break in the long-term relation between the two spreads in mid 1994, and that that relation was afterwords dominated by the consistent convergence of the Portuguese interest rates to European levels.

Term structure dynamics and no-arbitrage under the Taylor rule

Inhasz, Juliana
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Português
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65.93%
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 with short term interest rate. The term structure will be modeled based on a model with an affine structure. The estimation was made considering the inclusion of three latent factors and two macroeconomic variables, through the Bayesian technique of the Monte Carlo Markov Chain (MCMC).

Evaluating the existence of structural change in the brazilian term structure of interest : evidence based on cointegration models with structural break

Marçal, Emerson Fernandes; Valls Pereira, Pedro L.
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Português
Relevância na Pesquisa
65.9%
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 deterministic coe¢ cients (Ripatti and Saikkonen [25]). The second one is a VECM with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using both techniques for both databases. The risk premium for di¤erent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to inter- national standards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

Ensaios sobre a estrutura a termo da taxa de juros

Glasman, Daniela Kubudi
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
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45.95%
Esta tese é composta de três artigos que analisam a estrutura a termo das taxas de juros usando diferentes bases de dados e modelos. O capítulo 1 propõe um modelo paramétrico de taxas de juros que permite a segmentação e choques locais na estrutura a termo. Adotando dados do tesouro americano, duas versões desse modelo segmentado são implementadas. Baseado em uma sequência de 142 experimentos de previsão, os modelos propostos são comparados à benchmarks e concluí-se que eles performam melhor nos resultados das previsões fora da amostra, especialmente para as maturidades curtas e para o horizonte de previsão de 12 meses. O capítulo 2 acrescenta restrições de não arbitragem ao estimar um modelo polinomial gaussiano dinâmico de estrutura a termo para o mercado de taxas de juros brasileiro. Esse artigo propõe uma importante aproximação para a série temporal dos fatores de risco da estrutura a termo, que permite a extração do prêmio de risco das taxas de juros sem a necessidade de otimização de um modelo dinâmico completo. Essa metodologia tem a vantagem de ser facilmente implementada e obtém uma boa aproximação para o prêmio de risco da estrutura a termo, que pode ser usada em diferentes aplicações. O capítulo 3 modela a dinâmica conjunta das taxas nominais e reais usando um modelo afim de não arbitagem com variáveis macroeconômicas para a estrutura a termo...

Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Almeida, Caio Ibsen Rodrigues de
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
Português
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55.96%
Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article...

Term structure models with shot-noise effects

Gaspar, Raquel M.; Schmidt, Thorsten
Fonte: ISEG – Departamento de Gestão Publicador: ISEG – Departamento de Gestão
Tipo: Outros
Publicado em /07/2007 Português
Relevância na Pesquisa
65.92%
This work proposes term structure models consisting of two parts: a part which can be represented in exponential quadratic form and a shot noise part. These term structure models allow for explicit expressions of various derivatives. In particular, they are very well suited for credit risk models. The goal of the paper is twofold. First, a number of key building blocks useful in term structure modelling are derived in closed-form. Second, these building blocks are applied to single and portfolio credit risk. This approach generalizes Duffie & Garleanu (2001) and is able to produce realistic default correlation and default clustering. We conclude with a specific model where all key building blocks are computed explicitly.

Term Structure Models with Shot-noise Effects

Gaspar, Raquel M.; Schmidt, Thorsten
Fonte: ISEG – Departamento de Gestão Publicador: ISEG – Departamento de Gestão
Tipo: Outros
Publicado em /07/2007 Português
Relevância na Pesquisa
65.92%
This work proposes term structure models consisting of two parts: a part which can be represented in exponential quadratic form and a shot noise part. These term structure models allow for explicit expressions of various derivatives. In particular, they are very well suited for credit risk models. The goal of the paper is twofold. First, a number of key building blocks useful in term structure modelling are derived in closed-form. Second, these building blocks are applied to single and portfolio credit risk. This approach generalizes Duffie & Garleanu (2001) and is able to produce realistic default correlation and default clustering. We conclude with a specific model where all key building blocks are computed explicitly.

Fitting the term structure of yield spreads

Rodrigues, Velma de Jesus
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em //2014 Português
Relevância na Pesquisa
65.89%
Mestrado em Finanças; O objetivo deste estudo é a extracção e análise da estrutura temporal da curva de Yield Spread no contexto das Obrigações de Tesouro emitidas por Portugal entre Janeiro 2004 e Junho de 2014, período no qual Portugal enfrentava uma crise de liquidez e de dívida. Para a extracção da curva de Yield Spread utilizamos o disjoint method. Este método requer uma curva teoricamente sem risco e uma curva com risco: como curva sem risco utilizamos a curva estimada pelo ECB e a curva com risco é estimada pelo modelo de Nelson-Siegel (1987). Dada a importância do papel da previsão no conhecimento da evolução da estrutura temporal, o objetivo secundário deste projeto é a previsão da curva das yields através da previsão dos parâmetros do modelo de Nelson-Siegel (1987) utilizando como o modelo de referência o processo passeio aleatório com deriva e como modelos competidores os AR(1) e VAR(1). Os resultados incluem a análise empírica da curva de yield spread das Obrigações de Tesouro de Portugal e, relativamente à previsão da curva das yields, concluímos que o AR(1) e VAR(1) produzem resultados ligeiramente melhores que o modelo de referência e que esses resultados melhoram à medida que o horizonte temporal da previsão aumenta.; This study aims to fit and analyze the behaviour of the Yield Spread curve in the context of Portugal Government Bonds...

The Term Structure of Credit Spreads in Project Finance

Sorge, Marco; Gadanecz, Blaise
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
65.87%
This paper finds that the term structure of credit spreads in project finance is hump-shaped. This contrasts with other types of debt, where credit risk is shown instead to increase monotonically with maturity ceteris paribus. We emphasize a number of peculiar features of project finance structures that might underlie this finding, such as high leverage decreasing over time, long-term political risk guarantees and the sequential resolution of uncertainty along project advancement stages. Our result is particularly relevant given the importance of project finance as a source of long-term capital for infrastructure especially in developing countries and has implications for risk management in the framework of Basel II.

Testing the Expectations Theory of the Term Structure of Interest Rates in Threshold Models

CLEMENTS, Michael P.; GALVAO, Ana Beatriz C.
Fonte: Cambridge Univ Press Publicador: Cambridge Univ Press
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
65.78%
We test the expectations theory of the term structure of U.S. interest rates in nonlinear systems. These models allow the response of the change in short rates to past values of the spread to depend upon the level of the spread. The nonlinear system is tested against a linear system, and the results of testing the expectations theory in both models are contrasted. We find that the results of tests of the implications of the expectations theory depend on the size and sign of the spread. The long maturity spread predicts future changes of the short rate only when it is high.

On the informational role of term structure in the US monetary policy rule

María-Dolores Pedrero, Ramón; Vázquez, Jesús; Londoño, Juan M.
Fonte: Universidade de Múrcia Publicador: Universidade de Múrcia
Tipo: Artigo de Revista Científica Formato: application/pdf
Português
Relevância na Pesquisa
65.84%
The term spread may play a major role in a monetary policy rule whenever data revisions of output and inflation are not well behaved. In this paper we use a structural approach based on the indirect inference principle to estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure using both revised and real-time data. The estimation results show that the term spread becomes a significant determinant of the U.S. estimated monetary policy rule when revised and real-time data of output and inflation are both considered.

Risk premium, variance premium and the maturity structure of uncertainty

Feunou, Bruno; Fontaine, Jean-Sébastien; Taamouti, Abderrahim; Tédongap, Roméo
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em /11/2011 Português
Relevância na Pesquisa
55.9%
Theoretical risk factors underlying time-variations of risk premium across asset classes are typically unobservable or hard to measure by construction. Important examples include risk factors in Long Run Risk [LRR] structural models (Bansal and Yaron 2004) as well as stochastic volatility or jump intensities in reduced-form affine representations of stock returns (Duffie, Pan, and Singleton 2000). Still, we show that both classes of models predict that the term structure of risk-neutral variance should reveal these risk factors. Empirically, we use model-free measures and construct the ex-ante variance term structure from option prices. This reveals (spans) two risk factors that predict the bond premium and the equity premium, jointly. Moreover, we find that the same risk factors also predict the variance premium. This important contribution is consistent with theory and confirms that a small number of factors underlies common time-variations in the bond premium, the equity premium and the variance premium. Theory predicts that the term structure of higher-order risks can reveal the same factors. This is confirmed in the data. Strikingly, combining the information from the variance, skewness and kurtosis term structure can be summarized by two risk factors and yields similar level of predictability (i.e....

Central Bank Communication Affects the Term-Structure of Interest Rates

Chague,Fernando; De-Losso,Rodrigo; Giovannetti,Bruno; Manoel,Paulo
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/06/2015 Português
Relevância na Pesquisa
65.82%
We empirically analyze how the Brazilian Central Bank (BCB) communication affects the term structure of future interest rates. Using principal components analysis, we construct a measure of the Monetary Policy Committee Minutes content that reflects policy makers optimism about the economic conditions. We call this measure the Optimism Factor (OF). When policy makers are more optimistic, reflected by increments in the OF, markets expectations respond and long-term future interest rates drop. Furthermore, when policy makers are pessimistic, reflected by a decrease in the OF, volatility on future interest rates increases. Our result indicates that policy maker communication has an effective impact on market expectations.

Essays in macro finance and monetary economics

Somé, Modeste Yirbèhogré
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation
Português
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45.96%
Les questions abordées dans les deux premiers articles de ma thèse cherchent à comprendre les facteurs économiques qui affectent la structure à terme des taux d'intérêt et la prime de risque. Je construis des modèles non linéaires d'équilibre général en y intégrant des obligations de différentes échéances. Spécifiquement, le premier article a pour objectif de comprendre la relation entre les facteurs macroéconomiques et le niveau de prime de risque dans un cadre Néo-keynésien d'équilibre général avec incertitude. L'incertitude dans le modèle provient de trois sources : les chocs de productivité, les chocs monétaires et les chocs de préférences. Le modèle comporte deux types de rigidités réelles à savoir la formation des habitudes dans les préférences et les coûts d'ajustement du stock de capital. Le modèle est résolu par la méthode des perturbations à l'ordre deux et calibré à l'économie américaine. Puisque la prime de risque est par nature une compensation pour le risque, l'approximation d'ordre deux implique que la prime de risque est une combinaison linéaire des volatilités des trois chocs. Les résultats montrent qu'avec les paramètres calibrés, les chocs réels (productivité et préférences) jouent un rôle plus important dans la détermination du niveau de la prime de risque relativement aux chocs monétaires. Je montre que contrairement aux travaux précédents (dans lesquels le capital de production est fixe)...

Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the kalman filter

Maldonado Casta??o, Rogelio; Zapata Rueda, Natalia; Pantoja Robayo, Javier Orlando
Fonte: Elsevier Publicador: Elsevier
Tipo: article; info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Art??culo; publishedVersion
Português
Relevância na Pesquisa
55.9%
The official estimation for the term structure model in Colombia is based on the??Nelson and Siegel (1987)??development which is widely accepted and used. This estimation is based on the curve fitting with available data, only for one day ahead, making difficult to estimate the future zero-coupon yield curve. Taking into account the importance of having an estimation of the term structure for the valuation of financial assets in the Colombian market, this research proposes a methodology to estimate in a dynamic form the parameters of interest rates in the Nelson and Siegel Model. This required the use of the re-parameterization proposed by??Diebold and Li (2006), which determines the shape of the term structure through latent factors such as level, slope and curvature. This paper aims to show the dynamic estimation of the term structure of interest rate using the Kalman filter methodology framed in State - space. Results show that predictions are successful for more than one period in the future.

Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter

Castano R.M.; Rueda N.Z.; Robayo J.O.P.
Fonte: Elsevier Doyma Publicador: Elsevier Doyma
Tipo: Article; info:eu-repo/semantics/article
Português
Relevância na Pesquisa
55.9%
The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (1987) development which is widely accepted and used. This estimation is based on the curve fitting with available data, only for one day ahead, making difficult to estimate the future zero-coupon yield curve. Taking into account the importance of having an estimation of the term structure for the valuation of financial assets in the Colombian market, this research proposes a methodology to estimate in a dynamic form the parameters of interest rates in the Nelson and Siegel Model. This required the use of the re-parameterization proposed by Diebold and Li (2006), which determines the shape of the term structure through latent factors such as level, slope and curvature. This paper aims to show the dynamic estimation of the term structure of interest rate using the Kalman filter methodology framed in State - space. Results show that predictions are successful for more than one period in the future. © 2014 Universidad ESAN.

An interpretation of an Affine term structure model for Chile

Ochoa, J. Marcelo
Fonte: Universidad de Chile. Facultad de Economía y Negocios Publicador: Universidad de Chile. Facultad de Economía y Negocios
Tipo: Artículo de revista
Português
Relevância na Pesquisa
65.91%
This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely the instantaneous short rate and its time-varying central tendency. The model estimates suggest that the short end of the yield curve is mainly driven by changes in first latent factor, while long-term interest rates are mainly explained by the second latent factor. Consequently, when examining movements in the term structure, one should think of at least two forces that hit the economy: temporary shocks that change short-term and medium-term interest rates by much larger amounts than long-term interest rates, causing changes in the slope of the yield curve; and long-lived innovations which have persistent effects on the level of the yield curve.

Affine term structure models: forecasting the Colombian yield curve

Vel??squez-Giraldo, Mateo; Restrepo-Tob??n, Diego A.
Fonte: Universidad EAFIT; Escuela de Econom??a y Finanzas Publicador: Universidad EAFIT; Escuela de Econom??a y Finanzas
Tipo: workingPaper; Documento de trabajo de investigaci??n; draf
Português
Relevância na Pesquisa
65.78%
Modelar de forma superior la curva de rendimientos es ??til para valoraci??n de activos, planeaci??n financiera y administraci??n de riesgos. En este art??culo se estiman cinco modelos afines de la estructura a plazos colombiana usando datos diarios. Se encuentra que un modelo de tres factores tiene un desempe??o superior a los dem??s modelos para pron??sticos intra-muestrales y para pron??sticos (fuera de la muestra) con horizontes de uno y cinco d??as. Los factores del modelo se asemejan a sus contrapartes emp??ricas del nivel, la pendiente y la curvatura de la curva de rendimientos colombiana.; Superior modeling of the yield curve is useful for asset pricing, financial planning, and risk management. In this article, we estimate five affine term structure models using daily Colombian data. We find that a three-factor model outperforms the other models in one and five days ahead forecasts. The model???s factors closely mimic empirical proxies for the level, the slope, and the curvature of the Colombian yield curve.

Evaluating the existence of structural change in the Brazilian term structure of interest rate: evidence based on Hansens cointegration models with structural break

Marcal, Emerson F.; Pereira, Pedro L. Valls
Fonte: Universidade de São Paulo. Instituto de Matemática e Estatística Publicador: Universidade de São Paulo. Instituto de Matemática e Estatística
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; Formato: application/pdf
Publicado em 12/12/2014 Português
Relevância na Pesquisa
65.9%
This paper investigates whether there is evidence of struc- tural change in the Brazilian term structure of interest rates. Multivari- ate cointegration techniques are used to verify this evidence. An econo- metric model is estimated which is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using the tech- nique for both databases. The risk premium for dierent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to international stand- ards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

The term structure of interest rates and inflation forecast targeting

Schaling,Eric; Verhagen,Willem; Eijffinger,Sylvester
Fonte: South African Journal of Economic and Management Sciences Publicador: South African Journal of Economic and Management Sciences
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/07/2009 Português
Relevância na Pesquisa
65.89%
This paper examines the implications of the expectations theory of the term structure of interest rates for the implementation of inflation targeting. We show that the responsiveness of the central bank's instrument to the underlying state of the economy is increasing in the duration of the long-term bond. On the other hand, an increase in duration will make long-term inflationary expectations - and therefore also the long-term nominal interest rate - less responsive to the state of the economy. The extent to which the central bank is concerned with output stabilisation will exert a moderating influence on the central bank's response to leading indicators of future inflation. However, the effect of an increase in this parameter on the long-term nominal interest rate turns out to be ambiguous. Next, we show that both the sensitivity of the nominal term spread to economic fundamentals and the extent to which the spread predicts future output, are increasing in the duration of the long bond and the degree of structural output persistence. However, if the central bank becomes relatively less concerned about inflation stabilisation the term spread will be less successful in predicting real economic activity.