Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro
Autor(a) principal: | |
---|---|
Data de Publicação: | 2014 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/12023 |
Resumo: | The traditional representation of the term structure of interest rates in three latent factors (level, slope and curvature) had its original formulation developed by Charles R. Nelson and Andrew F. Siegel in 1987. Since then, several applications have been developed by academics and practitioners based on this class of models, mainly with the intention of anticipating movements in yield curves. At the same time, recently published papers as Diebold, Piazzesi and Rudebusch (2010), Diebold, Rudebusch and Aruoba (2006), Pooter, Ravazallo and van Dijk (2010) and Li, Niu and Zeng (2012) suggest that incorporating macroeconomic information to interest rates models can provide higher predictive power. In this study, the dynamic version of the Nelson-Siegel model, as proposed by Diebold and Li (2006), was compared to a similar model in which exogenous macroeconomic variables are included, for Brazilian data. In parallel, two different methods of parameter estimation were tested: the traditional two-step approach, and another, with the use of an Extended Kalman Filter, which allows parameters to be estimated recursively, every time a new information is added to the system. Regarding the models tested, the results were shown to be inconclusive, indicating only a marginal improvement in the estimates both in-sample and out-of-sample when exogenous variables are included. Nonetheless, the use of the Extended Kalman Filter showed more consistent results compared to the two-step method for almost all horizons studied. Keywords: Nelson-Siegel model, Term-Strucutre of Interest Rates, Macro-Finance, StateSpace Models, Brazil. |
id |
FGV_474fa0933fb42e95316edc59cd16f2e6 |
---|---|
oai_identifier_str |
oai:repositorio.fgv.br:10438/12023 |
network_acronym_str |
FGV |
network_name_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
repository_id_str |
3974 |
spelling |
Bernz, Bruno MüllerEscolas::EESPCintra, Roberto BarbosaFerman, MarceloRuilova Terán, Juan Carlos2014-09-11T14:10:50Z2014-09-11T14:10:50Z2014-08-11BERNZ, Bruno Müller. Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2014.http://hdl.handle.net/10438/12023The traditional representation of the term structure of interest rates in three latent factors (level, slope and curvature) had its original formulation developed by Charles R. Nelson and Andrew F. Siegel in 1987. Since then, several applications have been developed by academics and practitioners based on this class of models, mainly with the intention of anticipating movements in yield curves. At the same time, recently published papers as Diebold, Piazzesi and Rudebusch (2010), Diebold, Rudebusch and Aruoba (2006), Pooter, Ravazallo and van Dijk (2010) and Li, Niu and Zeng (2012) suggest that incorporating macroeconomic information to interest rates models can provide higher predictive power. In this study, the dynamic version of the Nelson-Siegel model, as proposed by Diebold and Li (2006), was compared to a similar model in which exogenous macroeconomic variables are included, for Brazilian data. In parallel, two different methods of parameter estimation were tested: the traditional two-step approach, and another, with the use of an Extended Kalman Filter, which allows parameters to be estimated recursively, every time a new information is added to the system. Regarding the models tested, the results were shown to be inconclusive, indicating only a marginal improvement in the estimates both in-sample and out-of-sample when exogenous variables are included. Nonetheless, the use of the Extended Kalman Filter showed more consistent results compared to the two-step method for almost all horizons studied. Keywords: Nelson-Siegel model, Term-Strucutre of Interest Rates, Macro-Finance, StateSpace Models, Brazil.A tradicional representação da estrutura a termo das taxas de juros em três fatores latentes (nível, inclinação e curvatura) teve sua formulação original desenvolvida por Charles R. Nelson e Andrew F. Siegel em 1987. Desde então, diversas aplicações vêm sendo desenvolvidas por acadêmicos e profissionais de mercado tendo como base esta classe de modelos, sobretudo com a intenção de antecipar movimentos nas curvas de juros. Ao mesmo tempo, estudos recentes como os de Diebold, Piazzesi e Rudebusch (2010), Diebold, Rudebusch e Aruoba (2006), Pooter, Ravazallo e van Dijk (2010) e Li, Niu e Zeng (2012) sugerem que a incorporação de informação macroeconômica aos modelos da ETTJ pode proporcionar um maior poder preditivo. Neste trabalho, a versão dinâmica do modelo Nelson-Siegel, conforme proposta por Diebold e Li (2006), foi comparada a um modelo análogo, em que são incluídas variáveis exógenas macroeconômicas. Em paralelo, foram testados dois métodos diferentes para a estimação dos parâmetros: a tradicional abordagem em dois passos (Two-Step DNS), e a estimação com o Filtro de Kalman Estendido, que permite que os parâmetros sejam estimados recursivamente, a cada vez que uma nova informação é adicionada ao sistema. Em relação aos modelos testados, os resultados encontrados mostram-se pouco conclusivos, apontando uma melhora apenas marginal nas estimativas dentro e fora da amostra quando as variáveis exógenas são incluídas. Já a utilização do Filtro de Kalman Estendido mostrou resultados mais consistentes quando comparados ao método em dois passos para praticamente todos os horizontes de tempo estudados.porDiversas aplicaçõesVariáveis exógenasMétodos de espaço de estadosEconomiaTaxas de jurosMacroeconomiaKalman, Filtragem deModelos econométricosMétodos de espaço de estadosModelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiroinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALBrunoMullerBernz.pdfBrunoMullerBernz.pdfVersão Finalapplication/pdf1422340https://repositorio.fgv.br/bitstreams/b30c6526-322a-42f3-b511-8c335b9638be/download6168bf331115f083b6b0499c140f15eeMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/8566bd67-5f1e-4cd4-823e-f26f19ce18a3/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTBrunoMullerBernz.pdf.txtBrunoMullerBernz.pdf.txtExtracted texttext/plain107499https://repositorio.fgv.br/bitstreams/71cc90ec-a333-47c1-acac-1e7b4578771b/downloaddf62d90c77483b147710815eee86e929MD57THUMBNAILBrunoMullerBernz.pdf.jpgBrunoMullerBernz.pdf.jpgGenerated Thumbnailimage/jpeg2938https://repositorio.fgv.br/bitstreams/aec939c0-802e-45ed-98bb-f2fe62f486a5/download4fdc00c31c21c21884e6f6d8c0a79588MD5810438/120232023-11-08 04:17:33.584open.accessoai:repositorio.fgv.br:10438/12023https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-08T04:17:33Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)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 |
dc.title.por.fl_str_mv |
Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro |
title |
Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro |
spellingShingle |
Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro Bernz, Bruno Müller Diversas aplicações Variáveis exógenas Métodos de espaço de estados Economia Taxas de juros Macroeconomia Kalman, Filtragem de Modelos econométricos Métodos de espaço de estados |
title_short |
Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro |
title_full |
Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro |
title_fullStr |
Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro |
title_full_unstemmed |
Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro |
title_sort |
Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro |
author |
Bernz, Bruno Müller |
author_facet |
Bernz, Bruno Müller |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Cintra, Roberto Barbosa Ferman, Marcelo |
dc.contributor.author.fl_str_mv |
Bernz, Bruno Müller |
dc.contributor.advisor1.fl_str_mv |
Ruilova Terán, Juan Carlos |
contributor_str_mv |
Ruilova Terán, Juan Carlos |
dc.subject.por.fl_str_mv |
Diversas aplicações Variáveis exógenas Métodos de espaço de estados |
topic |
Diversas aplicações Variáveis exógenas Métodos de espaço de estados Economia Taxas de juros Macroeconomia Kalman, Filtragem de Modelos econométricos Métodos de espaço de estados |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Taxas de juros Macroeconomia Kalman, Filtragem de Modelos econométricos Métodos de espaço de estados |
description |
The traditional representation of the term structure of interest rates in three latent factors (level, slope and curvature) had its original formulation developed by Charles R. Nelson and Andrew F. Siegel in 1987. Since then, several applications have been developed by academics and practitioners based on this class of models, mainly with the intention of anticipating movements in yield curves. At the same time, recently published papers as Diebold, Piazzesi and Rudebusch (2010), Diebold, Rudebusch and Aruoba (2006), Pooter, Ravazallo and van Dijk (2010) and Li, Niu and Zeng (2012) suggest that incorporating macroeconomic information to interest rates models can provide higher predictive power. In this study, the dynamic version of the Nelson-Siegel model, as proposed by Diebold and Li (2006), was compared to a similar model in which exogenous macroeconomic variables are included, for Brazilian data. In parallel, two different methods of parameter estimation were tested: the traditional two-step approach, and another, with the use of an Extended Kalman Filter, which allows parameters to be estimated recursively, every time a new information is added to the system. Regarding the models tested, the results were shown to be inconclusive, indicating only a marginal improvement in the estimates both in-sample and out-of-sample when exogenous variables are included. Nonetheless, the use of the Extended Kalman Filter showed more consistent results compared to the two-step method for almost all horizons studied. Keywords: Nelson-Siegel model, Term-Strucutre of Interest Rates, Macro-Finance, StateSpace Models, Brazil. |
publishDate |
2014 |
dc.date.accessioned.fl_str_mv |
2014-09-11T14:10:50Z |
dc.date.available.fl_str_mv |
2014-09-11T14:10:50Z |
dc.date.issued.fl_str_mv |
2014-08-11 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
BERNZ, Bruno Müller. Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2014. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/12023 |
identifier_str_mv |
BERNZ, Bruno Müller. Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2014. |
url |
http://hdl.handle.net/10438/12023 |
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 |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/b30c6526-322a-42f3-b511-8c335b9638be/download https://repositorio.fgv.br/bitstreams/8566bd67-5f1e-4cd4-823e-f26f19ce18a3/download https://repositorio.fgv.br/bitstreams/71cc90ec-a333-47c1-acac-1e7b4578771b/download https://repositorio.fgv.br/bitstreams/aec939c0-802e-45ed-98bb-f2fe62f486a5/download |
bitstream.checksum.fl_str_mv |
6168bf331115f083b6b0499c140f15ee dfb340242cced38a6cca06c627998fa1 df62d90c77483b147710815eee86e929 4fdc00c31c21c21884e6f6d8c0a79588 |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1802749750455304192 |