Modelo dinâmico de Nelson Siegel e política econômica
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/24790 |
Resumo: | Esse trabalho apresenta análise combinada entre a macroeconomia e a estrutura a termo das taxas de juros, através de duas modelagens distintas. Primeiramente, utiliza-se o modelo Novo Keynesiano de pequeno porte, que é combinado com o modelo dinâmico de Nelson-Siegel. Em seguida estima-se o modelo dinâmico de Nelson-Siegel integrado com variáveis macroeconômicas. São empregados dados mensais referentes aos contratos futuros de DI, de Setembro de 2002 a Dezembro de 2017. A comparação das modelagens mostra que o modelo combinado apresenta resultados mais consistentes do que o modelo integrado. |
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Andrade, Juliane Aparecida Lopes deEscolas::EESPCintra, Roberto BarbosaHenn, FlavioRuilova Terán, Juan Carlos2018-09-25T16:40:46Z2018-09-25T16:40:46Z2018-08-16http://hdl.handle.net/10438/24790Esse trabalho apresenta análise combinada entre a macroeconomia e a estrutura a termo das taxas de juros, através de duas modelagens distintas. Primeiramente, utiliza-se o modelo Novo Keynesiano de pequeno porte, que é combinado com o modelo dinâmico de Nelson-Siegel. Em seguida estima-se o modelo dinâmico de Nelson-Siegel integrado com variáveis macroeconômicas. São empregados dados mensais referentes aos contratos futuros de DI, de Setembro de 2002 a Dezembro de 2017. A comparação das modelagens mostra que o modelo combinado apresenta resultados mais consistentes do que o modelo integrado.This paper aims to present a combined analysis between macroeconomics and the term structure of interest rates, through two different models. Firstly, a small New Keynesian model is used, which is combined with the dynamic Nelson-Siegel model. Then the NelsonSiegel dynamic model integrated with macroeconomic variables is estimated. Monthly data on DI futures contracts are used from September 2002 to December 2017. Comparison of modeling shows that the combined model presents more consistent results than the integrated model.porDiebold-Li modelos de espaço de estados Nelson-SiegelNeokeynesianoDSGEDiebold-Li Nelson-SiegelNew Keynesian state space modelsEconomiaTaxas de jurosModelos econométricosMacroeconomiaMétodos de espaço de estadosEconomia keynesianaModelo dinâmico de Nelson Siegel e política econômicainfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTDissertacaoFinalJulianeAndrade.pdf.txtDissertacaoFinalJulianeAndrade.pdf.txtExtracted 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dc.title.por.fl_str_mv |
Modelo dinâmico de Nelson Siegel e política econômica |
title |
Modelo dinâmico de Nelson Siegel e política econômica |
spellingShingle |
Modelo dinâmico de Nelson Siegel e política econômica Andrade, Juliane Aparecida Lopes de Diebold-Li modelos de espaço de estados Nelson-Siegel Neokeynesiano DSGE Diebold-Li Nelson-Siegel New Keynesian state space models Economia Taxas de juros Modelos econométricos Macroeconomia Métodos de espaço de estados Economia keynesiana |
title_short |
Modelo dinâmico de Nelson Siegel e política econômica |
title_full |
Modelo dinâmico de Nelson Siegel e política econômica |
title_fullStr |
Modelo dinâmico de Nelson Siegel e política econômica |
title_full_unstemmed |
Modelo dinâmico de Nelson Siegel e política econômica |
title_sort |
Modelo dinâmico de Nelson Siegel e política econômica |
author |
Andrade, Juliane Aparecida Lopes de |
author_facet |
Andrade, Juliane Aparecida Lopes de |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Cintra, Roberto Barbosa Henn, Flavio |
dc.contributor.author.fl_str_mv |
Andrade, Juliane Aparecida Lopes de |
dc.contributor.advisor1.fl_str_mv |
Ruilova Terán, Juan Carlos |
contributor_str_mv |
Ruilova Terán, Juan Carlos |
dc.subject.por.fl_str_mv |
Diebold-Li modelos de espaço de estados Nelson-Siegel Neokeynesiano |
topic |
Diebold-Li modelos de espaço de estados Nelson-Siegel Neokeynesiano DSGE Diebold-Li Nelson-Siegel New Keynesian state space models Economia Taxas de juros Modelos econométricos Macroeconomia Métodos de espaço de estados Economia keynesiana |
dc.subject.eng.fl_str_mv |
DSGE Diebold-Li Nelson-Siegel New Keynesian state space models |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Taxas de juros Modelos econométricos Macroeconomia Métodos de espaço de estados Economia keynesiana |
description |
Esse trabalho apresenta análise combinada entre a macroeconomia e a estrutura a termo das taxas de juros, através de duas modelagens distintas. Primeiramente, utiliza-se o modelo Novo Keynesiano de pequeno porte, que é combinado com o modelo dinâmico de Nelson-Siegel. Em seguida estima-se o modelo dinâmico de Nelson-Siegel integrado com variáveis macroeconômicas. São empregados dados mensais referentes aos contratos futuros de DI, de Setembro de 2002 a Dezembro de 2017. A comparação das modelagens mostra que o modelo combinado apresenta resultados mais consistentes do que o modelo integrado. |
publishDate |
2018 |
dc.date.accessioned.fl_str_mv |
2018-09-25T16:40:46Z |
dc.date.available.fl_str_mv |
2018-09-25T16:40:46Z |
dc.date.issued.fl_str_mv |
2018-08-16 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
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masterThesis |
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dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/24790 |
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http://hdl.handle.net/10438/24790 |
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por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
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