Ensaios sobre estrutura a termo da curva de juros e spreads de títulos corporativos
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Tipo de documento: | Tese |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/12735 |
Resumo: | This work consists of three chapter dedicated to discussing different aspects of the important North American market for corporate bonds. In the first chapter, we show the evolution of the American credit market in recent decades, concerning its relevance to the economy. In this study we also show major regulatory changes that significantly affected the market in recent decades, as well as some references that indicate how these changes impacted the price and liquidity of credit assets. Finally, this chapter illustrates the main theoretical works and their contributions in the area of spreads and term structure of the corporate yield curve. In the second chapter, 'Global and Idiosyncratic Latent Factor in the Term Structure of Corporate Yield Curve Bonds', we analyze, in an unprecedented way, how global and idiosyncratic factors influence the term structure of the yield curves for corporate issuers from different ratings, activity sector and period of analysis. The results are unprecedented for this asset class because they had never been applied before to sovereign curves. The results indicate that the influence of global components decrease as the rating worsens. A second important result is that curves, for different sectors such as financial and industrial, are influenced differently by global and idiosyncratic factors regarding the level components and slope. In the third chapter, 'Term Structure of Corporate Bond Spreads Curve' we study the determinants of level and slope factors in corporate spreads in the United States from February 2002 to September 2012. The estimated model incorporates, unlike previous studies, latent factors of yield curves and treasuries spreads, macroeconomic and sectoral variables. We conclude that the level component of the treasury yield curve positively affects the level of spreads. The results differ from traditional literature, but are in line with recent studies that control periods of high assets volatility with structural breaks. |
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Palaia, Daniel Rodolfo AntonelliEscolas::EESPPereira, Pedro L. VallsMergulhão, João de MendonçaWerlang, Sérgio Ribeiro da CostaVieira, Flávio VilelaBrito, Márcio Holland de2014-12-08T18:39:25Z2014-12-08T18:39:25Z2014-12-01PALAIA, Daniel Rodolfo Antonelli. Ensaios sobre estrutura a termo da curva de juros e spreads de títulos corporativos. Tese (Doutorado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2014.http://hdl.handle.net/10438/12735This work consists of three chapter dedicated to discussing different aspects of the important North American market for corporate bonds. In the first chapter, we show the evolution of the American credit market in recent decades, concerning its relevance to the economy. In this study we also show major regulatory changes that significantly affected the market in recent decades, as well as some references that indicate how these changes impacted the price and liquidity of credit assets. Finally, this chapter illustrates the main theoretical works and their contributions in the area of spreads and term structure of the corporate yield curve. In the second chapter, 'Global and Idiosyncratic Latent Factor in the Term Structure of Corporate Yield Curve Bonds', we analyze, in an unprecedented way, how global and idiosyncratic factors influence the term structure of the yield curves for corporate issuers from different ratings, activity sector and period of analysis. The results are unprecedented for this asset class because they had never been applied before to sovereign curves. The results indicate that the influence of global components decrease as the rating worsens. A second important result is that curves, for different sectors such as financial and industrial, are influenced differently by global and idiosyncratic factors regarding the level components and slope. In the third chapter, 'Term Structure of Corporate Bond Spreads Curve' we study the determinants of level and slope factors in corporate spreads in the United States from February 2002 to September 2012. The estimated model incorporates, unlike previous studies, latent factors of yield curves and treasuries spreads, macroeconomic and sectoral variables. We conclude that the level component of the treasury yield curve positively affects the level of spreads. The results differ from traditional literature, but are in line with recent studies that control periods of high assets volatility with structural breaks.Este trabalho é composto por três capítulos que se dedicam a discutir aspectos distintos a respeito do importante mercado de títulos corporativos norte-americano. No primeiro capítulo, 'Mercado de Títulos Corporativos Norte-Americano: Evolução e Fatos Estilizados', mostramos como se deu a evolução do mercado de crédito norte-americano nas últimas décadas no que diz respeito à sua relevância para a economia. Nesse estudo mostramos também as principais mudanças regulatórias que afetaram de forma relevante esse mercado nos últimos anos. Trabalhos recentes encontraram evidências de que mudanças regulatórias no mercado de títulos corporativos provocam redução dos spreads e diminuem a liquidez dos ativos de crédito. Finalmente, ilustramos nesse capítulo as principais correntes teóricas e alguns fatos estilizados a respeito de curvas de juros e de spreads de títulos corporativos. No segundo capítulo, 'Fatores Latentes Globais e Idiossincráticos na Estrutura a Termo da Curva de Juros de Títulos Corporativos', analisamos a maneira como fatores globais e idiossincráticos influenciam a estrutura a termo das curvas de juros de emissores corporativos norte-americanos para diferentes níveis de classificação de risco, setor de atividade e período de análise. Os resultados são inéditos, pois a metodologia utilizada nunca foi aplicada anteriormente para essa classe de ativos, e indicam que a influência dos componentes latentes globais nos fatores de nível é menor quanto pior a classificação de risco. Um segundo resultado importante é que as curvas de setores de atividade distintos como o financeiro e industrial são influenciadas de maneira distinta pelos fatores globais e idiossincráticos no que diz respeito aos componentes de nível e inclinação. No terceiro capítulo, 'Estrutura a Termo da Curva de Spreads de Títulos Corporativos', estudamos as variáveis que influenciaram os fatores de nível e inclinação das curvas de spreads corporativos nos Estados Unidos. O modelo estimado nesse estudo incorpora, ao contrário de estudos anteriores, fatores latentes das curvas de juros do tesouro e de spreads, variáveis macroeconômicas e setoriais. Concluímos que o componente de nível da curva de juros norte-americana afeta positivamente o nível dos spreads. Os resultados diferem da literatura tradicional, mas estão em linha com estudos recentes que controlam períodos de elevada volatilidade de ativos com quebras estruturais. Palavras-chave: Spreads; Classificação de risco; Curva de juros; Títulos corporativosporSpreadsRatingsYield curveCorporate bondsSpreadsClassificação de riscoCurva de jurosTítulos corporativosEconomiaMercado financeiroTítulos (Finanças) - Estados UnidosRisco (Economia)Taxas de juros - Estados UnidosEnsaios sobre estrutura a termo da curva de juros e spreads de títulos corporativosinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTese.pdfTese.pdfapplication/pdf1714771https://repositorio.fgv.br/bitstreams/2cff9ba6-f7c4-4054-852e-6809cb31c0c3/downloadd7dffa1b861621b14266ec6baa643b10MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/ff6a2cc1-daf0-417d-8164-1d05a4a7ed16/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTTese.pdf.txtTese.pdf.txtExtracted 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|
dc.title.por.fl_str_mv |
Ensaios sobre estrutura a termo da curva de juros e spreads de títulos corporativos |
title |
Ensaios sobre estrutura a termo da curva de juros e spreads de títulos corporativos |
spellingShingle |
Ensaios sobre estrutura a termo da curva de juros e spreads de títulos corporativos Palaia, Daniel Rodolfo Antonelli Spreads Ratings Yield curve Corporate bonds Spreads Classificação de risco Curva de juros Títulos corporativos Economia Mercado financeiro Títulos (Finanças) - Estados Unidos Risco (Economia) Taxas de juros - Estados Unidos |
title_short |
Ensaios sobre estrutura a termo da curva de juros e spreads de títulos corporativos |
title_full |
Ensaios sobre estrutura a termo da curva de juros e spreads de títulos corporativos |
title_fullStr |
Ensaios sobre estrutura a termo da curva de juros e spreads de títulos corporativos |
title_full_unstemmed |
Ensaios sobre estrutura a termo da curva de juros e spreads de títulos corporativos |
title_sort |
Ensaios sobre estrutura a termo da curva de juros e spreads de títulos corporativos |
author |
Palaia, Daniel Rodolfo Antonelli |
author_facet |
Palaia, Daniel Rodolfo Antonelli |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Pereira, Pedro L. Valls Mergulhão, João de Mendonça Werlang, Sérgio Ribeiro da Costa Vieira, Flávio Vilela |
dc.contributor.author.fl_str_mv |
Palaia, Daniel Rodolfo Antonelli |
dc.contributor.advisor1.fl_str_mv |
Brito, Márcio Holland de |
contributor_str_mv |
Brito, Márcio Holland de |
dc.subject.eng.fl_str_mv |
Spreads Ratings Yield curve Corporate bonds |
topic |
Spreads Ratings Yield curve Corporate bonds Spreads Classificação de risco Curva de juros Títulos corporativos Economia Mercado financeiro Títulos (Finanças) - Estados Unidos Risco (Economia) Taxas de juros - Estados Unidos |
dc.subject.por.fl_str_mv |
Spreads Classificação de risco Curva de juros Títulos corporativos |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Mercado financeiro Títulos (Finanças) - Estados Unidos Risco (Economia) Taxas de juros - Estados Unidos |
description |
This work consists of three chapter dedicated to discussing different aspects of the important North American market for corporate bonds. In the first chapter, we show the evolution of the American credit market in recent decades, concerning its relevance to the economy. In this study we also show major regulatory changes that significantly affected the market in recent decades, as well as some references that indicate how these changes impacted the price and liquidity of credit assets. Finally, this chapter illustrates the main theoretical works and their contributions in the area of spreads and term structure of the corporate yield curve. In the second chapter, 'Global and Idiosyncratic Latent Factor in the Term Structure of Corporate Yield Curve Bonds', we analyze, in an unprecedented way, how global and idiosyncratic factors influence the term structure of the yield curves for corporate issuers from different ratings, activity sector and period of analysis. The results are unprecedented for this asset class because they had never been applied before to sovereign curves. The results indicate that the influence of global components decrease as the rating worsens. A second important result is that curves, for different sectors such as financial and industrial, are influenced differently by global and idiosyncratic factors regarding the level components and slope. In the third chapter, 'Term Structure of Corporate Bond Spreads Curve' we study the determinants of level and slope factors in corporate spreads in the United States from February 2002 to September 2012. The estimated model incorporates, unlike previous studies, latent factors of yield curves and treasuries spreads, macroeconomic and sectoral variables. We conclude that the level component of the treasury yield curve positively affects the level of spreads. The results differ from traditional literature, but are in line with recent studies that control periods of high assets volatility with structural breaks. |
publishDate |
2014 |
dc.date.accessioned.fl_str_mv |
2014-12-08T18:39:25Z |
dc.date.available.fl_str_mv |
2014-12-08T18:39:25Z |
dc.date.issued.fl_str_mv |
2014-12-01 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/doctoralThesis |
format |
doctoralThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
PALAIA, Daniel Rodolfo Antonelli. Ensaios sobre estrutura a termo da curva de juros e spreads de títulos corporativos. Tese (Doutorado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2014. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/12735 |
identifier_str_mv |
PALAIA, Daniel Rodolfo Antonelli. Ensaios sobre estrutura a termo da curva de juros e spreads de títulos corporativos. Tese (Doutorado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2014. |
url |
http://hdl.handle.net/10438/12735 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Fundação Getulio Vargas (FGV) |
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FGV |
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FGV |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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1802749748609810432 |