Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil
[Test of Term Structure Models for Brazil]
AbstractWe 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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 20832.
Date of creation: 2009
Date of revision:
Term structure models; monetary policy; interpolation;
Other versions of this item:
- Gyorgy Varga, 2009. "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 63(4), pages 227-260, December.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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