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Análise de componentes principais de dados funcionais - uma aplicação às estruturas a termo de taxas de juros

Author

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  • Getúlio Borges da Silveira
  • Octavio Bessada

Abstract

In this paper, we discuss the recent evolution of the domestic interest rate curves. Our approach is original, due to the fact that the data we used were observations of the values of the interest rate functions corresponding to particular arguments, the maturities associated with related instruments. We employ econometric techniques developed by Silverman and Ramsey among others, known as Functional Data Analysis. The results obtained are similar to several others found in the Literature. Specifically, we confirm the existence of three additive components, that have the same interpretation of Litterman& Sheinkman(1991).

Suggested Citation

  • Getúlio Borges da Silveira & Octavio Bessada, 2003. "Análise de componentes principais de dados funcionais - uma aplicação às estruturas a termo de taxas de juros," Working Papers Series 73, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:73
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    Cited by:

    1. Correa, Arnildo da Silva & Minella, André, 2010. "Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 64(3), September.
    2. Maria da Glória D. S. Araújo & Mirta Bugarin & Marcelo Kfoury Muinhos & Jose Ricardo C. Silva, 2006. "The Effect of Adverse Supply Shocks on Monetary Policy and Output," Working Papers Series 103, Central Bank of Brazil, Research Department.
    3. Marcelo Y. Takami & Benjamin M. Tabak, 2007. "Evaluation of Default Risk for The Brazilian Banking Sector," Working Papers Series 135, Central Bank of Brazil, Research Department.
    4. Areosa, Waldyr Dutra & Areosa, Marta B.M., 2016. "The inequality channel of monetary transmission," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 214-230.
    5. Mauricio S. Bugarin & Fabia A. de Carvalho, 2005. "Comment on ‘Market discipline and monetary policy’ by Carl Walsh," Oxford Economic Papers, Oxford University Press, vol. 57(4), pages 732-739, October.
    6. Márcio I. Nakane & Leonardo S. Alencar & Fabio Kanczuk, 2006. "Demand for Bank Services and Market Power in Brazilian Banking," Working Papers Series 107, Central Bank of Brazil, Research Department.
    7. Barbara Alemanni & José Renato Haas Ornelas, 2006. "Herding Behavior by Equity Foreign Investors on Emerging Markets," Working Papers Series 125, Central Bank of Brazil, Research Department.
    8. Alessandra Pasqualina Viola & Margarida Sarmiento Gutierrez & Claudio Henrique Barbedo & Andre Luiz Carvalhal da Silva, 2013. "Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression," Brazilian Business Review, Fucape Business School, vol. 10(1), pages 79-101, January.
    9. Júlio Cesar Albuquerque Bastos & Gabriel Caldas Montes, 2011. "Metasde Inflação E Estrutura A Termo Das Taxas De Juros - Uma Análise Dainfluência Da Credibilidade Sobre O Spread Da Taxa De Juros De Longoprazo No Brasil," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 142, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    10. Ana Carla A. Costa & João M. P. de Mello, 2006. "Judicial Risk and Credit Market Performance: Micro Evidence from Brazil Payroll Loans," Working Papers Series 102, Central Bank of Brazil, Research Department.
    11. Mr. Rodrigo Cabral & Mr. Richard Munclinger & Mr. Luiz Alves & Mr. Marco Rodriguez Waldo, 2011. "On Brazil’s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions," IMF Working Papers 2011/113, International Monetary Fund.
    12. Barbedo, Claudio H.S. & de Melo, Eduardo F.L., 2012. "Joint dynamics of Brazilian interest rate yields and macro variables under a no-arbitrage restriction," Journal of Economics and Business, Elsevier, vol. 64(5), pages 364-376.
    13. Angelo Marsiglia Fasolo, 2006. "Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets," Working Papers Series 112, Central Bank of Brazil, Research Department.
    14. Mirta Noemí Sataka Bugarin & Roberto de Goes Ellery Jr. & Victor Gomes Silva & Marcelo Kfoury Muinhos, 2005. "Steady State Analysis of an Open Economy General Equilibrium Model for Brazil," Working Papers Series 92, Central Bank of Brazil, Research Department.
    15. Benjamin M. Tabak, 2006. "The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence For Brazil," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(08), pages 1377-1396.

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