Estrutura a termo de taxas de juros: determinantes macroeconômicos: aplicação do modelo de Svensson para o Brasil
Carregando...
Data
2015-08-10
Autores
Orientador(res)
Mori, Rogério
Métricas
Título da Revista
ISSN da Revista
Título de Volume
Resumo
This paper is intended to systematize a model for both forecasting and explaining short term movements of the term structure of interest rates in the Brazilian local currency market, based on the probable relationship between these movements and the levels and variations in the relevant macroeconomic variables. The methodology used was to divide the procedure in two stages: In the first stage, the Svensson (1994) model is used to fit the available daily Yield Curve to the parameters of the model, for each specific date. This is accomplished by maximizing the R2 statistic in the OLS regression, as suggested in the original paper by Nelson-Siegel (1987). Then, the medians of the two decay parameters are calculated, and arbitrarily kept constant to make the second stage calculations easier. In the second stage, once the daily estimators that best fit the overall set of dates for the Yield Curve had been obtained, another OLS regression is performed considering Svensson’s betas to be dependent on the macroeconomic state variables.