Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos
Autor(a) principal: | |
---|---|
Data de Publicação: | 2013 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/10964 |
Resumo: | This article studies the prediction of the Brazilian interest rate term structure employing the use of common factors extracted from a vast database of macroeconomic series. The estimation and prediction periods analyzed are between January of 2000 and May of 2012. The rst approach is based on the model proposed by Moench (2008) in which the short term interest rate dynamics is modeled in a FAVAR framework and its term structure is derived through the use of restrictions implicated by no-arbitrage conditions . The choice of this model is justi ed by the results it obtained in the original study. It has presented the best predictive performance for intermediary and long horizons when compared to usual benchmarks. Nonetheless, such results also presented a progressive deterioration when subject to expansion of maturity periods. This suggests a possible failure from the latter to the estimation of the intermediary and long parts of the curve. When implemented to the Brazilian term structure, the model achieved similar results to Moench's study. In an attempt to overcome the previously mentioned deterioration, we propose an alternative modeling approach in which the dynamics of each rate is modeled alongside with the macroeconomic factors, therefore eliminating the restrictions implicated by the no-arbitrage condition .This approach led to fairly superior prediction results and also made possible to con rm the acknowledged inadequacy. Lastly, we have also inserted the macro factors in the dynamic of the factors from Diebold e Li (2006) model. There was also a predictive capacity gain when comparing to the article's dynamics especially to greater prediction horizons. |
id |
FGV_676cb7732a5e9fbafaea4027207ffa4d |
---|---|
oai_identifier_str |
oai:repositorio.fgv.br:10438/10964 |
network_acronym_str |
FGV |
network_name_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
repository_id_str |
3974 |
spelling |
Faria, Adriano Augusto deEscolas::EPGEFGVBonomo, Marco Antônio CesarVicente, José Valentim MachadoAlmeida, Caio Ibsen Rodrigues de2013-07-10T12:21:20Z2013-07-10T12:21:20Z2013-06-11FARIA, Adriano Augusto. Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2013.https://hdl.handle.net/10438/10964This article studies the prediction of the Brazilian interest rate term structure employing the use of common factors extracted from a vast database of macroeconomic series. The estimation and prediction periods analyzed are between January of 2000 and May of 2012. The rst approach is based on the model proposed by Moench (2008) in which the short term interest rate dynamics is modeled in a FAVAR framework and its term structure is derived through the use of restrictions implicated by no-arbitrage conditions . The choice of this model is justi ed by the results it obtained in the original study. It has presented the best predictive performance for intermediary and long horizons when compared to usual benchmarks. Nonetheless, such results also presented a progressive deterioration when subject to expansion of maturity periods. This suggests a possible failure from the latter to the estimation of the intermediary and long parts of the curve. When implemented to the Brazilian term structure, the model achieved similar results to Moench's study. In an attempt to overcome the previously mentioned deterioration, we propose an alternative modeling approach in which the dynamics of each rate is modeled alongside with the macroeconomic factors, therefore eliminating the restrictions implicated by the no-arbitrage condition .This approach led to fairly superior prediction results and also made possible to con rm the acknowledged inadequacy. Lastly, we have also inserted the macro factors in the dynamic of the factors from Diebold e Li (2006) model. There was also a predictive capacity gain when comparing to the article's dynamics especially to greater prediction horizons.Este artigo estuda a previsão da estrutura a termo da taxa de juros brasileira utilizando de fatores comuns extraídos de uma vasta base de séries macroeconômicas. Os períodos para estimação e previsão compreendem o intervalo de Janeiro de 2000 a Maio de 2012. Foram empregas 171 séries mensais para a construção da base. Primeiramente foi implementado o modelo proposto por Moench (2008), no qual a dinâmica da taxa de juros de curto prazo é modelada através de um FAVAR e a estrutura a termo é derivada utilizando-se de restrições implicadas por não arbitragem. A escolha pela adoção deste modelo se deve aos resultados obtidos no estudo original, nos quais tal modelagem apresentou melhor desempenho preditivo para horizontes intermediários e longos quando comparado com benchmarks usuais. Contudo, tais resultados também apresentaram uma deterioração progressiva à medida que as maturidades aumentam, evidenciando uma possível inadequação do modelo para as partes intermediária e longa da curva. A implementação deste modelo para a estrutura a termo brasileira levou a resultados muito similares ao do estudo original. Visando contornar a deterioração mencionada, foi proposta uma modelagem alternativa na qual a dinâmica de cada taxa é modelada conjuntamente com os fatores macroeconômicos, eliminando-se as restrições implicadas por não arbitragem. Tal modelagem proporcionou resultados de previsão amplamente superiores e através dela foi possível confirmar a inadequação descrita. Por fim, também foi realizada a inserção dos fatores macro na dinâmica dos fatores beta do modelo de Diebold e Li (2006), levando a um grande ganho de capacidade preditiva, principalmente para horizontes maiores de previsão.porEstrutura a termo brasileiraFAVARModelo afim de estrutura a termoEconomiaTaxas de jurosPrevisão econômicaModelos macroeconômicosPrevisão da estrutura a termo brasileira utilizando de fatores macroeconômicosinfo: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:FGVORIGINALPDFPDFapplication/pdf928548https://repositorio.fgv.br/bitstreams/80a575a6-35ec-423d-a045-566c97e48986/download9ea032eacaf5dfa81fc00a6c7a9ce5c6MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/d33f5906-1747-4b1f-9793-b75a7deff886/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTDissertacao_AAF.PDF.txtDissertacao_AAF.PDF.txtExtracted Texttext/plain109685https://repositorio.fgv.br/bitstreams/b1de8131-8daf-4eda-ae9a-985e58b0a30a/downloada9ad90f9dd55f4f39da6ebb8fb905b59MD53THUMBNAILDissertacao_AAF.PDF.jpgDissertacao_AAF.PDF.jpgGenerated Thumbnailimage/jpeg1680https://repositorio.fgv.br/bitstreams/57bbc991-8be1-4a8e-955f-75f463e6ea37/download4a8d14ad909b2b61336683f4c222cb25MD5410438/109642024-04-18 13:10:33.758open.accessoai:repositorio.fgv.br:10438/10964https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742024-04-18T13:10:33Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)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 |
dc.title.por.fl_str_mv |
Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos |
title |
Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos |
spellingShingle |
Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos Faria, Adriano Augusto de Estrutura a termo brasileira FAVAR Modelo afim de estrutura a termo Economia Taxas de juros Previsão econômica Modelos macroeconômicos |
title_short |
Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos |
title_full |
Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos |
title_fullStr |
Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos |
title_full_unstemmed |
Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos |
title_sort |
Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos |
author |
Faria, Adriano Augusto de |
author_facet |
Faria, Adriano Augusto de |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.member.none.fl_str_mv |
Bonomo, Marco Antônio Cesar Vicente, José Valentim Machado |
dc.contributor.author.fl_str_mv |
Faria, Adriano Augusto de |
dc.contributor.advisor1.fl_str_mv |
Almeida, Caio Ibsen Rodrigues de |
contributor_str_mv |
Almeida, Caio Ibsen Rodrigues de |
dc.subject.por.fl_str_mv |
Estrutura a termo brasileira FAVAR Modelo afim de estrutura a termo |
topic |
Estrutura a termo brasileira FAVAR Modelo afim de estrutura a termo Economia Taxas de juros Previsão econômica Modelos macroeconômicos |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Taxas de juros Previsão econômica Modelos macroeconômicos |
description |
This article studies the prediction of the Brazilian interest rate term structure employing the use of common factors extracted from a vast database of macroeconomic series. The estimation and prediction periods analyzed are between January of 2000 and May of 2012. The rst approach is based on the model proposed by Moench (2008) in which the short term interest rate dynamics is modeled in a FAVAR framework and its term structure is derived through the use of restrictions implicated by no-arbitrage conditions . The choice of this model is justi ed by the results it obtained in the original study. It has presented the best predictive performance for intermediary and long horizons when compared to usual benchmarks. Nonetheless, such results also presented a progressive deterioration when subject to expansion of maturity periods. This suggests a possible failure from the latter to the estimation of the intermediary and long parts of the curve. When implemented to the Brazilian term structure, the model achieved similar results to Moench's study. In an attempt to overcome the previously mentioned deterioration, we propose an alternative modeling approach in which the dynamics of each rate is modeled alongside with the macroeconomic factors, therefore eliminating the restrictions implicated by the no-arbitrage condition .This approach led to fairly superior prediction results and also made possible to con rm the acknowledged inadequacy. Lastly, we have also inserted the macro factors in the dynamic of the factors from Diebold e Li (2006) model. There was also a predictive capacity gain when comparing to the article's dynamics especially to greater prediction horizons. |
publishDate |
2013 |
dc.date.accessioned.fl_str_mv |
2013-07-10T12:21:20Z |
dc.date.available.fl_str_mv |
2013-07-10T12:21:20Z |
dc.date.issued.fl_str_mv |
2013-06-11 |
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 |
FARIA, Adriano Augusto. Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2013. |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/10964 |
identifier_str_mv |
FARIA, Adriano Augusto. Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2013. |
url |
https://hdl.handle.net/10438/10964 |
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/80a575a6-35ec-423d-a045-566c97e48986/download https://repositorio.fgv.br/bitstreams/d33f5906-1747-4b1f-9793-b75a7deff886/download https://repositorio.fgv.br/bitstreams/b1de8131-8daf-4eda-ae9a-985e58b0a30a/download https://repositorio.fgv.br/bitstreams/57bbc991-8be1-4a8e-955f-75f463e6ea37/download |
bitstream.checksum.fl_str_mv |
9ea032eacaf5dfa81fc00a6c7a9ce5c6 dfb340242cced38a6cca06c627998fa1 a9ad90f9dd55f4f39da6ebb8fb905b59 4a8d14ad909b2b61336683f4c222cb25 |
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_ |
1802749752596496384 |