ESTIMATION OF THE TERM STRUCTURE OF YIELD CURVE IN BRAZIL USING PARAMETRIC AND NON-PARAMETRIC MODELS

Detalhes bibliográficos
Autor(a) principal: Caldeira, João Frois
Data de Publicação: 2011
Tipo de documento: Artigo
Idioma: por
Título da fonte: Análise Econômica (Online)
Texto Completo: https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/13198
Resumo: The present paper compares the principal methods for interpolation and adjustment of the yield curve and presents the main concepts relative to the curve, which are of great importance for both policy makers and market participants in general, especially those who directly participate in managing portfolios of fixed income securities. The results show the superiority of non-parametric models in relation to parametric models with respect to the adjustment of the yield curve. On the other hand, the economic interpretation of the factors that make up the parametric models and their good performance to predict the yield curve has drawn much attention from both researchers and market participants in recent years.
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spelling ESTIMATION OF THE TERM STRUCTURE OF YIELD CURVE IN BRAZIL USING PARAMETRIC AND NON-PARAMETRIC MODELSESTIMAÇÃO DA ESTRUTURA A TERMO DA CURVA DE JUROS NO BRASIL ATRAVÉS DE MODELOS PARAMÉTRICOS E NÃO PARAMÉTRICOSCurva de jurosTaxas à vistaTaxas forwardModelos paramétricosModelos não paramétricosJELC32C52G11Yield curveSport rateForward rateParametric modelsNon-parametric modelsC32C52G11The present paper compares the principal methods for interpolation and adjustment of the yield curve and presents the main concepts relative to the curve, which are of great importance for both policy makers and market participants in general, especially those who directly participate in managing portfolios of fixed income securities. The results show the superiority of non-parametric models in relation to parametric models with respect to the adjustment of the yield curve. On the other hand, the economic interpretation of the factors that make up the parametric models and their good performance to predict the yield curve has drawn much attention from both researchers and market participants in recent years.O presente trabalho compara os principais métodos de interpolação e ajuste da estrutura a termo da curva de juros e apresenta os principais conceitos relativos ás curvas de juros, que são de grande importância tanto para formuladores de políticas quanto para participantes do mercado em geral, principalmente aqueles que atuam diretamente na gestão de carteiras de títulos de renda fixa. Os resultados encontrados mostram a superioridade dos modelos baseados em splines, modelos não paramétricos, em relação aos modelos paramétricos no que diz respeito ao ajuste da curva de juros. Por outro lado, a interpretação econômica dos fatores que compõe os modelos paramétricos e seu bom desempenho para fazer previsões da curva de juros faz com que recebam muita atencão tanto de pesquisadores quanto de participantes do mercado em geral nos últimos anos.UFRGS2011-07-21info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/1319810.22456/2176-5456.13198Análise Econômica; Vol. 29 No. 55 (2011): março de 2011Análise Econômica; v. 29 n. 55 (2011): março de 20112176-54560102-9924reponame:Análise Econômica (Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/13198/12515Copyright (c) 2019 Análise Econômicainfo:eu-repo/semantics/openAccessCaldeira, João Frois2013-10-10T19:14:12Zoai:seer.ufrgs.br:article/13198Revistahttps://seer.ufrgs.br/index.php/AnaliseEconomicaPUBhttps://seer.ufrgs.br/index.php/AnaliseEconomica/oai||rae@ufrgs.br2176-54560102-9924opendoar:2013-10-10T19:14:12Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv ESTIMATION OF THE TERM STRUCTURE OF YIELD CURVE IN BRAZIL USING PARAMETRIC AND NON-PARAMETRIC MODELS
ESTIMAÇÃO DA ESTRUTURA A TERMO DA CURVA DE JUROS NO BRASIL ATRAVÉS DE MODELOS PARAMÉTRICOS E NÃO PARAMÉTRICOS
title ESTIMATION OF THE TERM STRUCTURE OF YIELD CURVE IN BRAZIL USING PARAMETRIC AND NON-PARAMETRIC MODELS
spellingShingle ESTIMATION OF THE TERM STRUCTURE OF YIELD CURVE IN BRAZIL USING PARAMETRIC AND NON-PARAMETRIC MODELS
Caldeira, João Frois
Curva de juros
Taxas à vista
Taxas forward
Modelos paramétricos
Modelos não paramétricos
JEL
C32
C52
G11
Yield curve
Sport rate
Forward rate
Parametric models
Non-parametric models
C32
C52
G11
title_short ESTIMATION OF THE TERM STRUCTURE OF YIELD CURVE IN BRAZIL USING PARAMETRIC AND NON-PARAMETRIC MODELS
title_full ESTIMATION OF THE TERM STRUCTURE OF YIELD CURVE IN BRAZIL USING PARAMETRIC AND NON-PARAMETRIC MODELS
title_fullStr ESTIMATION OF THE TERM STRUCTURE OF YIELD CURVE IN BRAZIL USING PARAMETRIC AND NON-PARAMETRIC MODELS
title_full_unstemmed ESTIMATION OF THE TERM STRUCTURE OF YIELD CURVE IN BRAZIL USING PARAMETRIC AND NON-PARAMETRIC MODELS
title_sort ESTIMATION OF THE TERM STRUCTURE OF YIELD CURVE IN BRAZIL USING PARAMETRIC AND NON-PARAMETRIC MODELS
author Caldeira, João Frois
author_facet Caldeira, João Frois
author_role author
dc.contributor.author.fl_str_mv Caldeira, João Frois
dc.subject.por.fl_str_mv Curva de juros
Taxas à vista
Taxas forward
Modelos paramétricos
Modelos não paramétricos
JEL
C32
C52
G11
Yield curve
Sport rate
Forward rate
Parametric models
Non-parametric models
C32
C52
G11
topic Curva de juros
Taxas à vista
Taxas forward
Modelos paramétricos
Modelos não paramétricos
JEL
C32
C52
G11
Yield curve
Sport rate
Forward rate
Parametric models
Non-parametric models
C32
C52
G11
description The present paper compares the principal methods for interpolation and adjustment of the yield curve and presents the main concepts relative to the curve, which are of great importance for both policy makers and market participants in general, especially those who directly participate in managing portfolios of fixed income securities. The results show the superiority of non-parametric models in relation to parametric models with respect to the adjustment of the yield curve. On the other hand, the economic interpretation of the factors that make up the parametric models and their good performance to predict the yield curve has drawn much attention from both researchers and market participants in recent years.
publishDate 2011
dc.date.none.fl_str_mv 2011-07-21
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/13198
10.22456/2176-5456.13198
url https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/13198
identifier_str_mv 10.22456/2176-5456.13198
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/13198/12515
dc.rights.driver.fl_str_mv Copyright (c) 2019 Análise Econômica
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2019 Análise Econômica
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv UFRGS
publisher.none.fl_str_mv UFRGS
dc.source.none.fl_str_mv Análise Econômica; Vol. 29 No. 55 (2011): março de 2011
Análise Econômica; v. 29 n. 55 (2011): março de 2011
2176-5456
0102-9924
reponame:Análise Econômica (Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str Análise Econômica (Online)
collection Análise Econômica (Online)
repository.name.fl_str_mv Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ||rae@ufrgs.br
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