Browsing by Keyword "Term structure of interest rates"
Now showing items 1-13 of 13
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Approximating risk premium on a parametric arbitrage-free term structure model
2014-11-14In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids the cost of a ... -
Approximating risk premium on a parametric arbitrage-free term structure model
2014In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids full optimization ... -
Os efeitos da política monetária na estrutura a termo de taxas de juros brasileira, no período de julho de 1999 a março de 2007
2007-05-31Monetary policy actions are believed to be transmitted to the economy through their effects on market interest rates. However, it is observed that the relationship between monetary policy and market interest rates seems ... -
Ensaios sobre a estrutura a termo da taxa de juros
2013-02-25This thesis consists of three works that analyses the term structure of interest rates using different datasets and models. Chapter 1 proposes a parametric interest rate model that allows for segmentation and local shocks ... -
Essays in applied econometrics
2015-11-27Using a unique dataset on Brazilian nominal and real yield curves combined with daily survey forecasts of macroeconomic variables such as GDP growth, inflation, and exchange rate movements, we identify the effect of surprises ... -
A estrutura a termo das taxas de juro e a trajetória futura de inflação e atividade econômica: um estudo sobre o caso brasileiro
2007-02-13O objetivo deste trabalho é examinar a hipótese de que a estrutura a termo das taxas de juros é um bom indicador antecedente das trajetórias futuras da inflação e da atividade econômica, especificamente para o caso brasileiro, ... -
Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break
2012-09-17This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are ... -
Extracting default probabilities from sovereign bonds
2008-05-01Sovereign risk analysis is central in debt markets. Considering different bonds and countries, there are numerous measures aiming to identify the way risk is perceived by market participants. In such environment, probabilities ... -
O poder preditivo da estrutura a termo da taxa de juros: uma abordagem com indicadores não lineares
2013-07-03Com base em uma metodologia desenvolvida por Frankel e Lown (1994), que surge para aperfeiçoar o arcabouço utilizado por Mishkin (1990a,1990b) ao permitir, em contraposição a este, a variação ao longo do tempo da taxa de ... -
Pricing options embedded in debentures with credit risk
2015In this article, we develop a strategy to simultaneously extract a yield curve and price call options embedded in debentures subject to credit risk. The implementation is based on a combination of two methods: term structure ... -
Pricing options embedded in debentures with credit risk
2016-03-10In this article, we develop a strategy to simultaneously extract a yield curve and price call options embedded in debentures subject to credit risk. The implementation is based on a combination of two methods: term structure ... -
Sinalização de política monetária e movimentos na estrutura a termo da taxa de juros no Brasil
2009-05-13This paper examines how monetary policy decisions in Brazil, regarding short term interest rates, have affected the term structure of interest rate. We apply an event study methodology in two distinct periods: between ... -
As surpresas na política monetária e suas implicações na estrutura a termo de juros: o caso brasileiro
2009-02-05O objetivo do trabalho é estudar a relação entre 'surpresas' na política monetária, reveladas pelas mudanças não-esperadas na taxa de juros de curto prazo (Selic) e a estrutura a termo da curva de juros para o caso brasileiro. ...
