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Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil
[Test of Term Structure Models for Brazil]

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  • Varga, Gyorgy

Abstract

We apply and test term structure fitting models like polynomial splines, flat forward and Nelson-Siegel to the Brazilian local term structure. They are models used all over the world by authorities and financial markets practitioners but less known locally. These models were tested with a large database with all of then presenting some specification problems. These results are similar to Bliss (1997) for US term structure and showed several limitations to the use of these models in the term structure fitting.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 20832.

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Date of creation: 2009
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Handle: RePEc:pra:mprapa:20832

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Keywords: Term structure models; monetary policy; interpolation;

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References

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  1. Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
  2. McCulloch, J Huston, 1975. "An Estimate of the Liquidity Premium," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 83(1), pages 95-119, February.
  3. Poletti Laurini, Márcio & Moura, Marcelo, 2010. "Constrained smoothing B-splines for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 339-350, April.
  4. Chambers, Donald R. & Carleton, Willard T. & Waldman, Donald W., 1984. "A New Approach to Estimation of the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 19(03), pages 233-252, September.
  5. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 44(1), pages 19-31, January.
  6. Mark Fisher & Douglas Nychka & David Zervos, 1995. "Fitting the term structure of interest rates with smoothing splines," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 95-1, Board of Governors of the Federal Reserve System (U.S.).
  7. Duarte Junior, Antonio Marcos & Werlang, Sergio Ribeiro da Costa, 1995. "A model to estimate the US term structure of interest rates," Economics Working Papers (Ensaios Economicos da EPGE) 273, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  8. Caio Almeida & Romeu Gomes & André Leite & José Vicente, 2008. "Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 62(4), pages 497–510, December.
  9. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 60(4), pages 473-89, October.
  10. Shea, Gary S, 1985. " Interest Rate Term Structure Estimation with Exponential Splines: A Note," Journal of Finance, American Finance Association, American Finance Association, vol. 40(1), pages 319-25, March.
  11. Caio Ibsen Rodrigues De Almeida, 2005. "Affine Processes, Arbitrage-Free Term Structures Of Legendre Polynomials, And Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 161-184.
  12. Litzenberger, Robert H & Rolfo, Jacques, 1984. " An International Study of Tax Effects on Government Bonds," Journal of Finance, American Finance Association, American Finance Association, vol. 39(1), pages 1-22, March.
  13. Shea, Gary S., 1984. "Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 19(03), pages 253-269, September.
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Cited by:
  1. Joao Frois Caldeira & Guilherme Valle Moura & Marcelo Savino Portugal, 2011. "Efficient Interest Ratecurve Estimation And Forecasting In Brazil," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of 133, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].

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