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Arbitragem na Estrutura a Termo das Taxas de Juros: Uma Abordagem Bayesiana

Author

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  • Márcio Poletti Laurini
  • Armênio Dias Westin Neto

Abstract

Neste trabalho é realizada uma análise da presença de oportunidades de arbitragem na estrutura a termo de taxas de juros, através da estimação do modelo Nelson-Siegel generalizado com correção para nãoarbitragem, para os dados da estrutura a termo das taxas de juros brasileira presentes no contrato de negociação DI da Bolsa de Mercadorias e Futuros (BM&F). Para verificar a necessidade de imposição de restrições de não-arbitragem propomos uma análise baseada na estimação Bayesiana deste modelo. Os resultados desta análise indicam que correções de não-arbitragem não são necessárias e que este modelo representa uma especificação adequada para esta estrutura a termo de taxas de juros.

Suggested Citation

  • Márcio Poletti Laurini & Armênio Dias Westin Neto, 2010. "Arbitragem na Estrutura a Termo das Taxas de Juros: Uma Abordagem Bayesiana," Business and Economics Working Papers 109, Unidade de Negocios e Economia, Insper.
    • Handle: RePEc:aap:wpaper:109
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