Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil

Varga, Gyorgy (2009): Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil. Published in: Revista Brasileira de Economia , Vol. 63, No. 4 : pp. 361-394.

Abstract

We 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.

• Item Type: MPRA Paper
• English Title: Test of Term Structure Models for Brazil
• Language: Portuguese
• Keywords: Term structure models; monetary policy; interpolation
• Subjects: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates

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