Analysis of the Brazilian yield curve: a no-arbitrage factor-augmented vector autoregression approach
| dc.contributor.advisor | Dias, Ricardo Humberto | |
| dc.contributor.author | Santos, Bruno Luiz De Miranda | |
| dc.coverage.spatial | São Paulo | pt_BR |
| dc.creator | Santos, Bruno Luiz De Miranda | |
| dc.date.accessioned | 2021-09-13T03:17:58Z | |
| dc.date.accessioned | 2017-12-12T11:29:54Z | |
| dc.date.available | 2021-09-13T03:17:58Z | |
| dc.date.available | 2016 | |
| dc.date.available | 2017-12-12T11:29:54Z | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016 | |
| dc.description.other | This dissertation: ANALYSIS OF THE BRAZILIAN YIELD CURVE: A NO-ARBITRAGE FACTOR-AUGMENTED VECTOR AUTOREGRESSION APPROACH, applies a parsimonious method to analyse the Brazilian term structure exploiting a vast number of macroeconomic variables. The procedure, developed in Moench (2008), combines the short-term interest rate with the principal components extracted from a large macroeconomic dataset. The short-term dynamics are described by a factor-augmented vector autoregression. Subsequently, the term structure is obtained by the no-arbitrage method. The results in-sample and out-of-sample of the so called No-arbitrage Factor Augmented Vector Autoregression (NAFAVAR) model is compared with the model in Diebold and Li (2006), since this model delivers both in-sample fitting and out-of-sample forecasts. The results of the NAFAVAR model outperform the competitor model in some maturities of the term structure, which could be helpful for out-of-sample forecasts. The NAFAVAR model seems to adapt well to the Brazilian interest rate market, which could help financial agents to evaluate and forecast securities using a model with macroeconomic interpretation. | pt_BR |
| dc.format.extent | 30 p. | pt_BR |
| dc.identifier.uri | https://repositorio.insper.edu.br/handle/11224/1714 | |
| dc.language.iso | Inglês | pt_BR |
| dc.rights.uri | TODOS OS DOCUMENTOS DESSA COLEÇÃO PODEM SER ACESSADOS, MANTENDO-SE OS DIREITOS DOS AUTORES PELA CITAÇÃO DA ORIGEM. | pt_BR |
| dc.subject | Factors | pt_BR |
| dc.subject | VAR | pt_BR |
| dc.subject | Interest rates | pt_BR |
| dc.subject | No-arbitrage models | pt_BR |
| dc.title | Analysis of the Brazilian yield curve: a no-arbitrage factor-augmented vector autoregression approach | pt_BR |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| local.type | Dissertação | pt_BR |