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A model to estimate the US term structure of interest rates

  • Duarte Junior, Antonio Marcos
  • Werlang, Sérgio Ribeiro da Costa

The US term structure of interest rates plays a central role in fixed-income analysis. For example, estimating accurately the US term structure is a crucial step for those interested in analyzing Brazilian Brady bonds such as IDUs, DCBs, FLIRBs, EIs, etc. In this work we present a statistical model to estimate the US term structure of interest rates. We address in this report all major issues which drove us in the process of implementing the model developed, concentrating on important practical issues such as computational efficiency, robustness of the final implementation, the statistical properties of the final model, etc. Numerical examples are provided in order to illustrate the use of the model on a daily basis.

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File URL: http://bibliotecadigital.fgv.br/dspace/bitstream/10438/973/1/000064513.pdf
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Paper provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number 273.

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Date of creation: Oct 1995
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Handle: RePEc:fgv:epgewp:273
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  1. Ellery Júnior, Roberto de Góes & Ferreira, Pedro Cavalcanti, 1995. "Convergencia entre renda per capita dos estados brasileiros," Economics Working Papers (Ensaios Economicos da EPGE) 255, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  2. Castro, Hélio de Oliveira Portocarrero de & Oliveira, Luiz Guilherme Schymura de & Cardoso, Renato Fragelli & Werlang, Sérgio Ribeiro da Costa & Magalhães, Uriel de, 1994. "Regimes complementares de previdência," Economics Working Papers (Ensaios Economicos da EPGE) 238, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  3. Silveira, Antonio Maria da & Barbosa, Nelson H. & Freitas, Fábio N.P. & Monteiro, Marcos de Bustamante & Vernengo, Matias & Lopes, Carlos Fernando Lagrota R., 1993. "Estudos sobre a indeterminação de senior, vol. 1," Economics Working Papers (Ensaios Economicos da EPGE) 223, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  4. Ferreira, Pedro Cavalcanti & Ellery Júnior, Roberto de Góes, 1995. "Crescimento econômico, rendimentos crescentes e concorrência monopolista," Economics Working Papers (Ensaios Economicos da EPGE) 270, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  5. Cardoso, Renato Fragelli, 1995. "Profit sharing with heterogeneous entrepreneurial prowess," Economics Working Papers (Ensaios Economicos da EPGE) 265, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  6. Castro, Hélio de Oliveira Portocarrero de & Oliveira, Luiz Guilherme Schymura de & Cardoso, Renato Fragelli & Magalhães, Uriel de, 1993. "Previdência social pública: a experiência brasileira," Economics Working Papers (Ensaios Economicos da EPGE) 210, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  7. Novaes Filho, Walter & Werlang, Sérgio Ribeiro da Costa, 1994. "Inflationary bias and state owned financial institutions," Economics Working Papers (Ensaios Economicos da EPGE) 242, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  8. Castro, Hélio de Oliveira Portocarrero de & Oliveira, Luiz Guilherme Schymura de & Cardoso, Renato Fragelli & Magalhães, Uriel de, 1993. "Os sistemas previdenciários e uma proposta para a reformulação do modelo brasileiro," Economics Working Papers (Ensaios Economicos da EPGE) 211, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
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