Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil

Test of Term Structure Models for Brazil

Gyorgy Varga

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Term structure models; monetary policy; interpolation (search for similar items in EconPapers)
JEL-codes: C52 E4 G12 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:20832

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