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Sylvester, Matthew. "Calibrating Term Structure Models to an Initial Yield Curve." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/33027.
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The modelling of the short rate offers many advantages, with the models explored in this dissertation all offering closed-form, analytic formulae for bond prices and for options on bonds. Often, a vital primary condition is for a model to be calibrated to the initial term structure and to recover the bond prices observed in the market – that is, to be calibrated to the initial yield curve. Under the two exogenous models explored in this dissertation, the Hull-White and the CIR++, the effect of increasing the volatility parameter of the SDE increases the mean of the short rate. Increasing volatility of an SDE is a common approach to stress testing a model, as such, the consequences of bumping volatility in a calibrated model is a vital concern. The Hull-White model and CIR++ model were calibrated to market data, with the former being able to match the observed cap prices, while the latter failed, displaying an upper bound on cap prices. Investigating this, under CIR++ model, bond option prices are shown to not be straightforward increasing functions of the volatility parameter. In fact, for high volatility, bond option prices display an upper limit before decreasing, thus providing a limit to the level of cap prices too. This dissertation points to the reason residing in the underlying CIR model from which the CIR++ is based on, and the manner in which the model is extended
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Rodrigues, Velma de Jesus. "Fitting the term structure of yield spreads." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/8503.
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Mestrado em FinançasO objetivo deste estudo é a extracção e análise da estrutura temporal da curva de Yield Spread no contexto das Obrigações de Tesouro emitidas por Portugal entre Janeiro 2004 e Junho de 2014, período no qual Portugal enfrentava uma crise de liquidez e de dívida. Para a extracção da curva de Yield Spread utilizamos o disjoint method. Este método requer uma curva teoricamente sem risco e uma curva com risco: como curva sem risco utilizamos a curva estimada pelo ECB e a curva com risco é estimada pelo modelo de Nelson-Siegel (1987). Dada a importância do papel da previsão no conhecimento da evolução da estrutura temporal, o objetivo secundário deste projeto é a previsão da curva das yields através da previsão dos parâmetros do modelo de Nelson-Siegel (1987) utilizando como o modelo de referência o processo passeio aleatório com deriva e como modelos competidores os AR(1) e VAR(1). Os resultados incluem a análise empírica da curva de yield spread das Obrigações de Tesouro de Portugal e, relativamente à previsão da curva das yields, concluímos que o AR(1) e VAR(1) produzem resultados ligeiramente melhores que o modelo de referência e que esses resultados melhoram à medida que o horizonte temporal da previsão aumenta.
This study aims to fit and analyze the behaviour of the Yield Spread curve in the context of Portugal Government Bonds, covering a period of January 2004 through June 2014, when Portugal faced a liquidity and debt crisis. In order to extract the Yield Spread curve, we use a disjoint method. This method requires as an input both a defaultable and non-defaultable term structure: we use the default-free curve estimated by the ECB and the defaultable term structure is estimated by the Nelson-Siegel model (1987). Due to the important role that forecasting plays in understanding how term structure evolves, the secondary objective of this work is to forecast the yield curve by predicting the parameters of Nelson-Siegel model (1987) using the Random Walk with drift as the benchmark model and the AR(1) and the VAR(1) model as competitors models. The results include the empirical analysis of Portuguese Government yield spread curve and, concerning the yield curve forecasting, we conclude that AR(1) and VAR(1) slightly outperformed the benchmark model and these models performance improves as the forecasting time horizon increases.
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Apabhai, Mohammed Z. "Term structure modelling and the valuation of yield curve derivative securities." Thesis, University of Oxford, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.308683.
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Pekerten, Uygar. "Yield Curve Modelling Via Two Parameter Processes." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/12605905/index.pdf.
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Random field models have provided a
flexible environment in which the properties of the term structure of interest rates are captured almost as observed. In this study we provide an overview of the forward rate random fiield models and propose an extension in which the forward rates fluctuate along with a two parameter process represented by a random field. We then provide a mathematical expression of the yield curve under this model and sketch the prospective utilities and applications of this model for interest rate management.
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Ochoa, J. Marcelo. "What moves the yield curve? lessons from an affine term structure model for Chile." Tesis, Universidad de Chile, 2006. http://repositorio.uchile.cl/handle/2250/134902.
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Tesis para optar al grado de Magister en EconomíaThis paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model. The dynamics of yields in the model are explained by two latent factors, the instantaneous short rate and its time-varying central tendency. The model estimates suggest that the short end of the yield curve is mainly driven by changes in first latent factor, while longterm interest rates are mainly explained by the second latent factor. Consequently, when thinking about movements in the term structure one should think of at least two forces that hit the economy; temporary shocks that change short-term and medium-term interest rates by much larger amounts than long-term interest rates, causing changes in the slope of the yield curve; and long-lived innovations which have persistent effects on the level of the yield curve.
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Henry, Olan Thomas John. "The rational expectations hypothesis of the term structure : an economic analysis of the U.S. treasury yield curve 1952-1991." Thesis, University of Reading, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.262456.
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Silva, Joana Andreia Costa da. "Calibration of term structure models : analysis of the impact of the 2007-2012 financial crisis." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10703.
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Mestrado em Matemática FinanceiraO BCE (Banco Central Europeu) analisa diariamente, a estrutura temporal das taxas de juro (yield curve). Nessa análise é utilizado o modelo de Svensson (1994) para calibrar a yield curve para a zona euro, usualmente denominada default-free yield curve. Com base no histórico dos parâmetros do modelo de Svensson (1994) disponibilizado pelo BCE, as default-free yield curve são calibradas, em cada dia útil, no período de 6 de setembro de 2004 a 2 de março de 2015. É realizada uma análise de componentes principais (ACP) da default-free yield curve e uma análise de quebra de estrutura da evolução temporal dos parâmetros do modelo de Svensson (1994). As duas análises realizadas têm como objetivo perceber o impacto da crise na calibração da default-free yield curve. São calibradas as yield curves para a Alemanha e para os países periféricos da zona euro: PIIGS (Portugal, Irlanda, Itália, Grécia e Espanha), sendo também realizada uma ACP das yield curves de cada um destes países, em três períodos. Essa análise permite concluir que, na maior parte dos países em estudo, a significância das primeiras componentes principais altera-se com a crise financeira de 2007-2012, sugerindo que o modelo de Svensson (1994), usado pelo BCE, não é o mais adequado no período após essa crise. Após se obterem as yield curves para cada um dos países mencionados, são calibradas as estruturas temporais dos spreads de crédito de cada um desses países, no mesmo período. Além disso, é elaborada uma ACP dos spreads de crédito em três períodos.
ECB (European Central Bank) is daily analyzing the term structure of interest rates (yield curve). In this analysis the Svensson (1994) model is used to calibrate the yield curve for the euro zone, usually referred to as default-free yield curve. On the basis of the historical parameters data of the Svensson (1994) model available from ECB, the default-free yield curve are calibrated in the period from September 6, 2004 to March 2, 2015. Moreover it is performed a principal component analysis (PCA) of the default-free yield curve and an analysis of structural break with respect to the temporal evolution of the Svensson (1994) parameters. The two addressed analyses have as goal to understand the impact of the 2007-2012 financial crisis upon the calibration of the default-free yield curve. Yield curves for Germany and for peripheral countries of the euro zone: PIIGS (Portugal, Ireland, Italy, Greece and Spain) are calibrated. Moreover a PCA of the yield curve of each mentioned country is achieved in three periods. This analysis allows to conclude that the significance of the first principal components change throughout the 2007-2012 financial crisis. It means that the Svensson (1994) model, used by ECB, can not be the most suitable for the period after this crisis. With the yield curve for each mentioned country and using the default-free yield curve, the credit spread term structure for each of these countries is calibrated throughout the same period. Furthermore, a PCA of the credit spreads TS is performed in three periods.
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Krippner, Leo. "The Derivation and Application of a Theoretically and Economically Consistent Version of the Nelson and Siegel Class of Yield Curve Models." The University of Waikato, 2007. http://hdl.handle.net/10289/2645.
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A popular class of yield curve models is based on the Nelson and Siegel (1987) (hereafter NS) approach of fitting yield curve data with simple functions of maturity. However, NS models are not theoretically consistent and they also lack an economic foundation, which limits their wider application in finance and economics. This thesis derives an intertemporally-consistent and arbitrage-free version of the NS model, and provides an explicit macroeconomic foundation for that augmented NS (ANS) model. To illustrate the general applicability of the ANS model, it is then applied to four distinct topics spanning finance and economics, each of which are active areas of research in their own right: i.e (1) forecasting the yield curve; (2) investigating relationships between the yield curve and the macroeconomy; (3) fixed interest portfolio management; and (4) investigating the uncovered interest parity hypothesis (UIPH). In each application, the ANS model allows the formal derivation of a parsimonious theoretical framework that captures the essence of the topic under investigation and is readily applicable in practice. Respectively: (1) the intertemporal consistency embedded in the ANS model results in a vector-autoregressive equation that projects the future yield curve from the current yield curve, and forecasts from that model outperform the random-walk benchmark; (2) the economic foundation for the ANS model leads to a single-equation relationship between the current shape of the yield curve and the magnitude and timing of future output growth, and empirical estimations confirm that the theoretical relationship holds in practice; (3) the ANS model provides a theoretically-consistent framework for quantifying risk and returns in fixed interest portfolios, and portfolios optimised ex-ante using that framework outperform a passive benchmark; and (4) the ANS model allows interest rates to be decomposed into a component related to economic fundamentals in the underlying economy, and a component related to cyclical influences. Empirical tests based on the fundamental interest rate components do not reject the UIPH, while the UIPH is rejected based on the cyclical interest rate components. This provides empirical support for suggestions in the theoretical literature that interest rate and exchange rate dynamics associated with cyclical interlinkages between the economy and financial markets under rational expectations may contribute materially to the UIPH puzzle.
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Oz, Emrah. "Can Relative Yield Curves Predict Exchange Rate Movements? Example From Turkish Financial Market." Master's thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/12612505/index.pdf.
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Exchange rate forecasting is hard issue for most of floating exchange rate economies. Studying exchange rate is very attractive matter since almost no model could beat random walk in short run yet. Relative yields and information in relative yield curves are contemporary topics in empirical literature and this study follows Chen and Tsang (2009) who model exchange rate changes with relative factors obtained from Nelson-Siegel (1987) yield curve model and find that relative factor model can forecast exchange rate change up to 2 years and perform better than random walk in short run. Analysis follows the methodology defined by Chen and Tsang (2009) and TL/USD, TL/EUR exchange rate changes are modeled by the relative factors namely relative level, relative slope and relative curvature. Basically, 162 weekly datasets from 09.01.2007 to 16.03.2010 are used and the relative factors for each week are estimated. Afterwards, regression analysis is made and results show that relative level and relative curvature factors are significant up to 4-6 weeks horizon but relative slope does not provide any valuable information for exchange rate prediction in Turkish financial market. Length of forecasting horizon of relative factor model is too short when compared to other exchange rate models. Since it is accepted that exchange rates follow random walk, we provided some tests to compare performance of the model. Similar to the literature, only short run performance of relative factor model is compared to random walk model and concluded that the relative factor model does not provide better forecasting performance in Turkish financial market
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Ruas, Marcelo Castiel. "Estimação da estrutura a termo da taxa de juros com abordagem de dados funcionais." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2014. http://hdl.handle.net/10183/116642.
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Neste trabalho, estudam-se métodos que consideram a natureza funcional da Estrutura a Termo da Taxa de Juros (ETTJ) para fazer previsões fora da amostra. São estimados modelos não-paramétricos para dados funcionais (NP-FDA) e séries temporais funcionais (FTS). O primeiro se baseia em um estimador de regressão proposto por Ferraty e Vieu (2006), que utiliza funções Kernel para atribuir pesos localmente às variáveis funcionais. Já o segundo se baseia no trabalho de Hays, Shen e Huang (2012), que estimam a ETTJ através de um modelo de fatores dinâmicos, que por sua vez são estimados através de análise de componentes principais funcional. Testa-se a capacidade de previsão dos modelos com a ETTJ americana, para os horizontes de 1, 3, 6 e 12 meses, e comparam-se os resultados com modelos benchmark, como Diebold e Li (2006) e o passeio aleatório. Principal foco deste trabalho, as estimações com métodos NP-FDA não tiveram resultado muito bons, obtendo sucesso apenas com maturidades e horizontes muito curtos. Já as estimações com FTS tiveram, no geral, desempenho melhor que os métodos escolhidos como benchmark.This work studies methods that takes the Yield Curve's functional nature into account to produce out-of-sample forecasts. These methods are based in nonparametric functional data analysis (NP-FDA) and functional time series (FTS). The former are based in a functional regressor estimator proposed by Ferraty e Vieu (2006) that includes Kernel functions to do local weighting between the functional variables. The latter are based on the paper by Hays, Shen and Huang (2012), that forecasts the Yield Curve based in a dynamic factors model, in which the factors are determined by functional principal component analysis. Their forecasting capability is tested for the american's Yield Curve database for 1, 3, 6 and 12 months. The results from the functional methods models are then compared to benchmarks widely used in the literature, such as the random walk and the Diebold and Li (2006). Main focus on this work, the NP-FDA methods didn't produce very good forecasts, being successful only for very low maturities and short forecast horizons. The forecasts generated by the FTS methods were, in general, better than our chosen benchmarks.
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Lloyd, Simon Phillip. "An analysis of monetary policy transmission through bond yields." Thesis, University of Cambridge, 2017. https://www.repository.cam.ac.uk/handle/1810/270003.
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In this thesis, I study the transmission of monetary policy through the term structure of interest rates. This is an important topic because, with short-term nominal interest rates in many advanced economies close to their effective lower bound since 2008-2009, central banks have used `unconventional' monetary policies, such as large-scale asset purchases and forward guidance, to stimulate macroeconomic activity by, inter alia, placing downward pressure on longer-term interest rates. I focus on the mechanisms through which monetary policy influences bond yields, domestically and globally, with reference to a canonical decomposition of longer-term interest rates into expectations of future short-term interest rates, and term premia. After an introduction in chapter 1, chapter 2 appraises the use of overnight indexed swap (OIS) rates as measures of expected future monetary policy. Unlike federal funds futures (FFFs), which have regularly been used to construct measures of US interest rate expectations, OIS rates are available in many countries. I find that US OIS rates provide measures of interest rate expectations that are as good as those from FFFs, and that US, UK, Eurozone and Japanese OIS rates up to a 2-year horizon tend to accurately measure interest rate expectations, providing comparable cross-country measures of monetary policy expectations. In chapter 3, I propose a novel method for estimating interest rate expectations and term premia at short and long-term horizons: a no-arbitrage Gaussian affine dynamic term structure model (GADTSM) augmented with OIS rates. Using 3 to 24-month OIS rates, the OIS-augmented model generates estimates of the expected path of short-term interest rates out to a 10-year horizon that closely correspond to those implied by FFFs rates and survey expectations, outperforming existing GADTSMs. I study the transmission of US unconventional monetary policies in chapter 4. Using the OIS-augmented GADTSM, I carry out an event study to demonstrate that US unconventional monetary policy announcements between November 2008 and April 2013 did significantly reduce US longer-term interest rates by affecting expectations and term premia. As a result of these declines, unconventional monetary policies aided US real economic outcomes. Using a structural vector autoregression, I show that changes in interest rate expectations, linked to monetary policy signalling, had more expansionary effects on US real economic outcomes than changes in term premia, associated with portfolio rebalancing. Chapter 5 assesses the international transmission of monetary policy through the term structure of interest rates between advanced economies. I present a micro-founded, two-country model with endogenous portfolio choice amongst country-specific short and long-term bonds, and equity. Within the model, US monetary policy has sizeable effects on longer-term interest rates in other advanced economies, which are similar to empirical estimates. Using the OIS-augmented GADTSM in an event study, I show that US monetary policy has led to changes in interest rate expectations in other advanced economies that amplify global spillovers, which have been partly mitigated by changes in term premia through portfolio rebalancing.
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Štork, Zbyněk. "Term Structure of Interest Rates: Macro-Finance Approach." Doctoral thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-125158.
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Thesis focus on derivation of macro-finance model for analysis of yield curve and its dynamics using macroeconomic factors. Underlying model is based on basic Dynamic Stochastic General Equilibrium DSGE approach that stems from Real Business Cycle theory and New Keynesian Macroeconomics. The model includes four main building blocks: households, firms, government and central bank. Log-linearized solution of the model serves as an input for derivation of yield curve and its main determinants -- pricing kernel, price of risk and affine term structure of interest rates -- based on no-arbitrage assumption. The Thesis shows a possible way of consistent derivation of structural macro-finance model, with reasonable computational burden that allows for time varying term premia. A simple VAR model, widely used in macro-finance literature, serves as a benchmark. The paper also presents a brief comparison and shows an ability of both models to fit an average yield curve observed from the data. Lastly, the importance of term structure analysis is demonstrated using case of Central Bank deciding about policy rate and Government conducting debt management.
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Queiroz, Lucas Oliveira Caldellas de. "Análise e estimação da estrutura a termo da taxa de juros com abordagem bayesiana." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2017. http://hdl.handle.net/10183/172554.
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Este trabalho analisa e modela a Estrutura a Termo das Taxas de Juros objetivando ao teste da Hipótese das Expectativas(HE) na ponta curta da curva de juros e a uma aplicação da teoria de Markowitz (1952) no mercado de renda fixa utilizando a estrutura proposta por Caldeira, Moura e Santos (2015). Para estes fins foram utilizados dados dos contratos futuros de 1 dia dos depósito interbancários (DI1) negociados na BMF interpolados em maturidades fixas, sendo utilizados em base semanal quando do teste da HE e em base diária para a construção dos portfólios de mínima variância. Os resultados encontrados para o teste da HE sugerem a invalidade da teoria, uma vez que o prêmio de risco é se mostra ajustável a um modelo GARCH-M e, portanto, variante no tempo. Os portfólios de mínima variância ajustados nas versões irrestrita e restrita (duration máxima de 1 ano) se mostraram consistentes, tendo superado quase a totalidade dos fundos analisados. O portfólio de mínima variância irrestrito obteve o maior Índice de Sharpe no período analisado.This work analyzes and model the Term Structure of Interest Rates seeking testing Expectation Hypothesis in the short end of the Yield Curve and to apply the portfolio theory to the fixed income context using the framework proposed by Caldeira, Moura e Santos (2015). We used a database of constant maturities interbank deposits’s future contracts. The results suggest Expectation Hypothesis doesn’t hold and risk premium could be modeled by a GARCH-M framework, being time variant. The bond portfolio optimized were, in general, consistent with high sharpe ratio relative to other funds and beated the chosen benchmark during the period analyzed.
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de, Rezende Rafael B. "Essays on Macro-Financial Linkages." Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2259.
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This doctoral thesis is a collection of four papers on the analysis of the term structure of interest rates with a focus at the intersection of macroeconomics and finance. "Risk in Macroeconomic Fundamentals and Bond Return Predictability" documents that factors related to risks underlying the macroeconomy such as expectations, uncertainty and downside (upside) macroeconomic risks are able to explain variation in bond risk premia. The information provided is found to be, to a large extent, unrelated to that contained in forward rates and current macroeconomic conditions. "Out-of-sample bond excess returns predictability" provides evidence that macroeconomic variables, risks in macroeconomic outcomes as well as the combination of these different sources of information are able to generate statistical as well as economic bond excess returns predictability in an out-of-sample setting. Results suggest that this finding is not driven by revisions in macroeconomic data. The term spread (yield curve slope) is largely used as an indicator of future economic activity. "Re-examining the predictive power of the yield curve with quantile regression" provides new evidence on the predictive ability of the term spread by studying the whole conditional distribution of GDP growth. "Modeling and forecasting the yield curve by extended Nelson-Siegel class of models: a quantile regression approach" deals with yield curve prediction. More flexible Nelson-Siegel models are found to provide better fitting to the data, even when penalizing for additional model complexity. For the forecasting exercise, quantile-based models are found to overcome all competitors.Diss. Stockholm : Stockholm School of Economics, 2014. Introduction together with 4 papers.
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Thomas, Michael Patrick. "Long term extrapolation and hedging of the South African yield curve." Diss., Pretoria : [s.n.], 2009. http://upetd.up.ac.za/thesis/available/etd-06172009-085254.
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Brocco, Marcelo Bertini. "Análise estatística do modelo de Nelson e Siegel." Universidade Federal de São Carlos, 2013. https://repositorio.ufscar.br/handle/ufscar/4566.
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The present paper studies the yield curve, an important tool for financial decisions, due to its fundamental role in the implementation and evaluation of monetary policies by the central banks. It also shows market perspectives in relation to the future development of interest rates, inflation and economical activities. Using an adequate model and a reasoned assessment of its parameters enables us to adjust the curve as far as possible to the real curve and hence obtain most precise and trustful results. These results were acquired by studying a model which was developed in 1987 by Nelson and Siegel and used to draw up the yield curve. Considering the model s limitations, diferent methods were used to attain the estimated parameters, such as Ordinary Least Squares, Maximum Likelihood and Bayesian Inference in the static version. The Nelson-Siegel model is widely used in Brazil and in the rest of the world, due to its economical idea, easy implementation and eficient adjustment into diferent formats that the yield curve is able to deal with. By considering the restrictions of the model, we found estimations for the parameters of the model safer than other and besides, the main point of this work is an estimation form of parameters of time together with others parameters of the model without considering one fixed value for it.
O objeto de estudo deste trabalho é a curva de taxas de juros, uma importante ferramenta utilizada em decisões financeiras, pois desempenha um papel fundamental na implementação e avaliação de políticas monetárias pelos bancos centrais. Assim sendo, indica as expectativas do mercado quanto ao comportamento futuro das taxas de juros, inflação e atividade econômica. A utilização de um bom modelo e uma boa estimação dos parâmetros do mesmo nos permite representar a curva ajustada o mais próximo da curva real, dessa forma, conseguimos encontrar resultados mais precisos e confiáveis. Neste trabalho estudamos o modelo utilizado para construção das curvas de taxas de juros desenvolvido em 1987 por Nelson e Siegel (1987) e métodos, considerando as restrições do modelo, para obtermos as estimativas dos parâmetros (Mínimos Quadrados Ordinários, Máxima Verossimilhança e Inferência Bayesiana) na vers~ao estática. O modelo de Nelson e Siegel apresenta grande aplicação tanto no Brasil quanto no restante do mundo, pois ele apresenta como características seu caráter parcimonioso nos parâmetros, sua fácil implementação e ajuste eficiente nos diversos formatos que a curva de taxas de juros pode assumir. Por considerarmos as restrições do modelo, encontramos estimativas para os parâmetros do modelo mais seguras e além disso, como principal contribuição deste trabalho, temos uma forma de estimação do parâmetro de tempo conjuntamente com os demais parâmetros do modelo, sem considerar apenas um valor fixo para ele.
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Zhang, He. "The variation in the structure of risks driving the yield curve implications for bond portfolio choice /." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05600655001/$FILE/05600655001.pdf.
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Fransson, Oskar, and Almqvist Henrik Mark. "Trading Volatility : Trading strategies based on the VIX term structure." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172989.
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This study investigates how term structure dynamics of VIX futures can be exploited forabnormal returns. To be able to access volatility as a tradeable asset, the trading strategiesonly trades ETFs which are designed to replicate the movements of VIX futures index. Itis established that such ETFs are unsuitable for buy-and-hold investments because of thenegative roll yield it usually suffers, caused by the slope of the VIX term structure.Consequently, these conditions create opportunities for strategies that use direct andinverse VIX ETFs to be profitable. The study is a quantitative study that uses historicalprice data to back test three different trading strategies. The strategies are tested over theperiod 11-oct-2011 to 31-mar-2020. The authors have deliberately chosen to delimit thestudy by not testing the performance of the ETFs, not statistically test the risk-adjustedreturns and not perform a regression to calculate optimal hedge ratios for the strategies.The results from this study shows that its possible for strategies that exploit the termstructure dynamics of VIX futures to generate abnormal returns.
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Reddy, Desigan. "Factors of the term structure of sovereign yield spreads and the effect on the uncovered interest rate parity model for exchange rate prediction." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29691.
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Using a Principal Component Analysis (PCA) approach, we investigate the sovereign yield spread term structure of the BRICS economies against the U.S. We show that the term structure for these markets are primarily driven by three latent factors which can be classified as the spread level, slope and curvature factors. We further postulate that a country’s yield curve contains valuable information about its future economic state and as such the PCA derived spread factors, which are based on the differences between sovereign yield curves, encapsulates material macro-economic information between the countries. In light of this, we show that augmenting the traditional Uncovered Interest Rate Parity model (UIRP) with these factors improves the models predictive accuracy of exchange rate movements.
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Renne, Jean-Paul. "Regime switching in bond yield and spread dynamics." Thesis, Paris 9, 2013. http://www.theses.fr/2013PA090038/document.
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Cette thèse développe différents modèles à changements de régimes de la structure par terme des taux d'intérêt. Un cadre général de modélisation des taux associés à différents émetteurs y est présenté (chapitre 2). Ce cadre est exploité afin d’analyser les taux d’État de dix pays de la zone euro entre 1999 et 2012 (chapitre 3). Un régime de crise permet d’expliquer l’accroissement de la volatilité des taux pendant la crise financière. Cette étude montre en outre que la liquidité des titres est déterminante pour leur valorisation. Le cadre de modélisation est complété afin d’étudier le lien de causalité entre deux types de tensions: celles liées à des motifs de liquidité et celles liées à des motifs de crédit (chapitre 4). Enfin, l'influence de la politique monétaire sur la courbe des taux est examinée grâce à un modèle dans lequel une utilisation innovante des changements de régime permet de produire des trajectoires réalistes des taux directeurs de la banque centrale (chapitre 5)This doctoral thesis develops regime-switching models of the term structure of interest rates. A general framework is proposed to model the joint dynamics of yield curves associated with different debtors (Chapter 2). This framework is exploited to analyse the fluctuations of ten euro-area sovereign yield curves over the period 1999-2012 (Chapter 3). In this model, a crisis regime is key to account for the increase in spread volatility during the financial crisis. Also, this study shows that market liquidity is an important determinant of bond prices. The model is then completed in order to explore potential causality relationships between two kinds of stresses: liquidity- and credit-related stresses (Chapter 4). Finally, the influence of monetary policy on the yield curve is investigated by means of a term structure model where an innovative use of regime-switching techniques makes it possible to capture salient features of the dynamics of monetary-policy rates (chapter 5)
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Muratore, Thomas Joseph Jr. "LONG-TERM LAND MANAGEMENT PRACTICES AND THEIR EFFECT ON SOIL HEALTH AND CROP PRODUCTIVITY." UKnowledge, 2019. https://uknowledge.uky.edu/pss_etds/115.
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Agricultural intensification reliant on monocrops could change soil health in a way that does not support maximum crop productivity. Twenty-nine-year-old no-till field plots at the University of Kentucky Spindletop research farm showed a significant reduction in corn yields from continuous corn plots compared to those from plots in various types of rotation. The objective of this study was to determine what role soil microbes might play in yield reduction and how management and time effects microbial community structure. Samples were collected from the following treatments: continuous corn (CC), continuous soybean (SS), a 2-year corn/soybean rotation (CCSS), Corn in rotation with soybean with winter wheat cover (C/W/S), and sod controls (SOD). Soil health-related parameters were determined along with microbial community structure using phospholipid fatty acid analysis (PLFA). Results show that there is a strong seasonal dynamic in microbial communities with May, July and September showing the greatest differentiation between treatments. Nonparametric multidimensional analysis (NMDS) shows that microbial communities under SS, CC treatments were significantly different from the CS and CWS treatments across all four years of the study. My findings will prove useful for assessing the contribution of biological indicators to agroecosystem function and will aid in making recommendations of when and how to manage these parameters to improve soil health and maximize yield.
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Sinzato, Arthur Yukio. "Estudo comparativo do poder preditivo do PIB brasileiro por variáveis macroeconômicas em relação ao conjunto de variáveis da estrutura de taxa de juros." reponame:Repositório Institucional do FGV, 2012. http://hdl.handle.net/10438/10089.
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O trabalho busca comparar dois conjuntos de informações para a projeção das variações do PIB brasileiro: através de modelos econométricos aplicados sobre a série univariada do PIB, e a aplicação dos mesmos modelos, mas contemplando adicionalmente o conjunto de informação com dados da estrutura a termo de taxa de juros de swap PRÉ-DI. O objetivo é verificar, assim como descrito na literatura internacional, se informações de variáveis financeiras tem a capacidade de incrementar o poder preditivo de projeções de variáveis macroeconômicas, na medida em que esses dados também embutem as expectativas dos agentes em relação ao desenvolvimento do cenário econômico. Adicionalmente, o mesmo procedimento aplicado para os dados brasileiros é aplicado sobre as informações dos Estados Unidos, buscando poder fornecer ao estudo uma base de comparação sobre os dados, tamanho da amostra e estágio de maturidade das respectivas economias. Como conclusão do resultado do trabalho está o fato de que foi possível obter um modelo no qual a inclusão do componente de mercado apresenta menores erros de projeção do que as projeções apenas univariadas, no entanto, os ganhos de projeção não demonstram grande vantagem comparativa a ponto de poder capturar o efeito de antecipação do mercado em relação ao indicador econômico como em alguns casos norte-americanos. Adicionalmente o estudo demonstra que para este trabalho e amostra de dados, mesmo diante de diferentes modelos econométricos de previsão, as projeções univariadas apresentaram resultados similares.
This study intends to compare two groups of data in order to forecast the Brazilian GDP growth: through the use of econometric models applied on a univariate time series of the GDP, and the use of the same models but additionally incorporating the group of data containing the term structure of Brazilian interbank swap rates information. The objective is to test, as already described on abroad academic literature, the possibility of financial market data being capable of increasing predicting power of forecasting macroeconomic data, as these financial information possess agents expectations over the development of the economic scenario. Additionally, the same procedure applied over the Brazilian data is also applied over North-American information, in order to provide the study a relative basis comparison over the data, sample size, and development stage of each economy. As conclusion of the results of this work is the fact that it has been possible to obtain one model that inserts the market component and presents smaller forecast errors than the predicted by univariate models, however, the benefits of the projections do not present a great comparative advantage in order to capture the market anticipation effect when compared to the economic indicators as in some North American cases. Additionally the study shows that for this work and sample of data, even within different econometric predicting models, the univariate projections presented similar results.
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Faria, Adriano Augusto de. "Essays in empirical finance." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/19503.
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This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure the performance of such methods in pricing, Value at Risk and forecasting exercises. In its turn, the last chapter brings a discussion about the effects of different metrics of the optimal portfolio on the estimation of a CCAPM model.In the first chapter, we propose a segmented model to deal with the seasonalities appearing in real yield curves. In different markets, the short end of the real yield curve is influenced by seasonalities of the price index that imply a lack of smoothness in this segment. Borrowing from the flexibility of spline models, a B-spline function is used to fit the short end of the yield curve, while the medium and the long end are captured by a parsimonious parametric four-factor exponential model. We illustrate the benefits of the proposed term structure model by estimating real yield curves in one of the biggest government index-linked bond markets in the world. Our model is simultaneously able to fit the yield curve and to provide unbiased Value at Risk estimates for different portfolios of bonds negotiated in this market.Chapter 2 introduces a novel framework for the estimation of corporate bond spreads based on mixture models. The modeling methodology allows us to enhance the informational content used to estimate the firm level term structure by clustering firms together using observable firm characteristics. Our model builds on the previous literature linking firm level characteristics to credit spreads. Specifically, we show that by clustering firms using their observable variables, instead of the traditional matrix pricing (cluster by rating/sector), it is possible to achieve gains of several orders of magnitude in terms of bond pricing. Empirically, we construct a large panel of firm level explanatory variables based on results from a handful of previous research and evaluate their performance in explaining credit spread differences. Relying on panel data regressions we identify the most significant factors driving the credit spreads to include in our term structure model. Using this selected sample, we show that our methodology significantly improves in sample fitting as well as produces reliable out of sample price estimations when compared to the traditional models.Chapter 3 brings the paper “Forecasting the Brazilian Term Structure Using Macroeconomic Factors”, published in Brazilian Review of Econometrics (BRE). This paper studies the forecasting of the Brazilian interest rate term structure using common factors from a wide database of macroeconomic series, from the period of January 2000 to May 2012. Firstly the model proposed by Moench (2008) is implemented, in which the dynamic of the short term interest rate is modeled using a Factor Augmented VAR and the term structure is derived using the restrictions implied by no-arbitrage. Similarly to the original study, this model resulted in better predictive performance when compared to the usual benchmarks, but presented deterioration of the results with increased maturity. To avoid this problem, we proposed that the dynamic of each rate be modeled in conjunction with the macroeconomic factors, thus eliminating the no-arbitrage restrictions. This attempt produced superior forecasting results. Finally, the macro factors were inserted in a parsimonious parametric three-factor exponential model.The last chapter presents the paper “Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters”, also published in BRE. This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate wealth endogenously derived in equilibrium models with Kreps-Porteus recursive utility. We argue that the usual stock market wide index is not a good portfolio to represent optimal wealth of the representative agent, and we propose as an alternative the portfolio from the Investment Fund Industry. Especially for Brazil, where that industry invests most of its resources in fixed income, the aforementioned substitution of the optimal proxy portfolio caused a significant increase in the risk aversion coefficient and the elasticity of the intertemporal substitution in consumption.
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Pereda, C. Javier. "Estimación de la curva de rendimiento cupón cero para el Perú y su uso para el análisis monetario." Economía, 2012. http://repositorio.pucp.edu.pe/index/handle/123456789/117068.
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This paper estimates the zero coupon yield curve for the Peruvian government bond market. We employ two methods of estimation proposed by Nelson y Siegel (1987) and Svensson (1994). Model performance is evaluated based on criteria of goodness of fit, flexibility and parameter stability, by using alternative objective functions for parameter estimation. The Svensson model shows on average a better adjustment; however, parameter estimates are more unstable when data availability is limited —for example when there is a small number of transactions in the secondary market— in which case is better to use the Nelson y Siegel estimates. At the end of the paper, yield curve estimates are used to derive market expectations of future short term interest rates, that are valuable sources of information for central bank’s monetary policy.En el presente documento se estiman dos modelos para la curva de rendimiento en soles para el Perú, el modelo de Nelson y Siegel (1987) y el modelo de Svensson (1994). Se compara el desempeño de ambos modelos en términos de ajuste, flexibilidad y estabilidad de sus parámetros, y se evalúan funciones objetivo de estimación alternativas. El modelo de Svensson tiene el mejor ajuste, sin embargo, es más inestable cuando no se dispone de datos suficientes para los diferentes plazos de la curva de rendimiento —por la ausencia de emisiones o de precios cuando la negociación en el mercado secundario es incipiente— en cuyo caso es preferible el uso del modelo de Nelson y Siegel. En la parte final se muestra el uso de las curvas de rendimiento cupón cero estimadas como fuente de información de los bancos centrales sobre las expectativas del mercado para la evolución futura de la tasa interbancaria.
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Marinho, Carolina Ribeiro Veronesi. "A estrutura a termo da taxa de juros e a oferta de títulos públicos." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8530.
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This paper’s proposal is to analyze how bond supply is likely to affect yields and the excess return of government bonds. Thus, the study is based on a model built around three agents: the government, preferred habitat investors and arbitrageurs. Consistent with the model, when the government changes the relative maturity of its debt, the entire term structure is affected and the result is intensified for long-term maturities. In addition, results were stronger for almost all maturities when excess return is analyzed.
O presente trabalho tem o objetivo analisar como a oferta de dívida pública é capaz de afetar os yields e o excesso de retorno de títulos públicos. Para tanto, o estudo é baseado em um modelo construído em torno de três agentes, sendo eles o Governo, os investidores com preferência por maturidades específicas e os arbitradores. Consistente com o modelo, observamos que quando o Governo altera a maturidade relativa de sua dívida, toda a estrutura a termo é afetada e esse resultado se intensifica para títulos mais longos. Além disso, os resultados se mostraram mais fortes para quase todas as maturidades quando o excesso de retorno é analisado.
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Huang, kuo-chung, and 黃國忠. "Quantitative Yield Curve Models for Estimating The Term Structure of Interest Rates." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/45986632366183764624.
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Fu, Min active 2013. "Dynamic modeling approach to forecast the term structure of government bond yields." Thesis, 2013. http://hdl.handle.net/2152/22587.
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Since arbitrage-free is a desirable theoretical feature in a healthy financial market, many efforts have been made to construct arbitrage-free models for yield curves. However, little attention is paid to review if such restriction will improve yield forecast. We evaluate the importance of arbitrage-free restriction on dynamic Nelson-Siegel term structure when forecasting yield curves. We find that it doesn’t help. We also compare these two Nelson-Siegel dynamic models with a benchmark dynamic model and show that Nelson-Siegel structure improve forecasts for long-maturity yields.text
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Hsu, Chia-Ling, and 許嘉玲. "Term Structure of Interest Rate Swap Spreads-Fitting Current Yield Curve and Analytic Solution." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/00071254064975097827.
Full textAbstract:
碩士國立臺灣大學
財務金融學研究所
91
Swap spreads is the difference between the fixed rates on fixed-for-floating swap contracts and the yields-to-maturity on maturity-matched government bonds. Many fixed-income securities including corporate bonds and mortgaged-back securities use interest rate swap spreads as a key benchmark for pricing and hedging. Swap spreads have received renewed attention since the Fall of 1998 when their volatile movements contributed in a significant way to the financial turmoil. Recent papers about the valuation of swap spreads use credit or liquidity as the determinants of swap spreads. But the the empirical evidence and the current industry practice of swap does not seem to be consistent with credit risk being a major factor in determining swap spreads. Thus we use liquidity as the determinants, which was proposed by Grinblatt(2001), of the swap spreads. However, the model of term structure used in Grinblatt(2001) is an equilibrium model, which do not provide a perfect fit to the initial term structure of interest rates. This may cause a huge error in pricing. Besides, in theory, Grinbaltt should use the closed form solution of pure discount bond prices to estimate other parameters. Nevertheless, Grinblatt use the current yield curve to estimate. This causes the inconsistency between the theory and the empirical method. This paper bases on the HW(1990b)’s term structures model, which is a no arbitrage model, to derive the term structures of swap spreads. Thus the analytic solution we proposed perfectly fits the current term structure. And it is a model for consistency between the theory and the empirical model. This paper also makes a study of Taiwan’s IRS market. And since the lack of efficient interest rate benchmark like LIBOR, and limitation of the bond market and futures market in Taiwan, it is unreasonable to use the data from Taiwan’s IRS market to do the empirical study. In order to eliminate the effect influenced by other factors but not the IRS itself, we use the data of US dollar IRS market to estimate the parameters. We found that it is a proper model to fit the IRS spreads, especially in the maturity of 3,4,5,7 years.
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Razzano, Chiara. "Estimating and forecasting international yield curves: a no-arbitrage VAR with macroeconomic and latent variables." Master's thesis, 2018. http://hdl.handle.net/10362/36545.
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The focus of this paper is to replicate and extend a model for the prediction of interest rate affine term structure models. We propose an extension of one of the most recent models in the field to some G10 countries. Our purpose is to find how well this model fares at forecasting in different markets and if its implementation in investment strategies is viable. This model uses measures of real activity and inflation as macroeconomic variables together with unobservable variables. This Work Project had the objective of delivering its results to BlackRock to build an innovative and successful investment strategy.
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Canta, Mariana, Chiara Razzano, Denis Vugrinec, Alessandro Pisterzi, and Domenico Spoto. "BlackRock work project estimating and forecasting international yield curves: a no-arbitrage VAR with macroeconomic and latent variables." Master's thesis, 2018. http://hdl.handle.net/10362/35663.
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The focus of this paper is to replicate and extend the estimation of a model for the prediction of interest rate affine term
structures to G10 countries. The existing literature for the prediction of yield curves is vast, we will be focusing on the
popular class of Gaussian affine term structure models. Our model uses measures of real activity and inflation as
macroeconomic variables together with unobservable variables, through non-arbitrage VARs. Our purpose is to find how
well this model fares at forecasting in different markets and if the model is good at predicting the correct shifts in the
yield curve. This Work Project had the objective of delivering its results to BlackRock so they can trade based on forecasts
from the model.
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Novais, Olga Sofia Oliveira. "O impacto das crises financeiras na previsão da estrutura temporal das taxas de juro : o caso da Zona Euro." Master's thesis, 2012. http://hdl.handle.net/10400.14/14085.
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Na presente investigação são estudadas as diversas extensões do modelo de Nelson e Siegel (1987) com o propósito de analisar quais os modelos que revelam melhores resultados para ajustar e prever a Estrutura Temporal das Taxas de Juro na Zona Euro em contexto de grandes crises económicas e financeiras. Em particular, demonstramos que o modelo de 4 fatores, que inclui um segundo fator inclinação, é o modelo que melhor se ajusta às taxas de juro da amostra, revelando resultados bastante satisfatórios na medida em que consegue capturar as diversas formas que a yield curve assume ao longo do tempo, revelando resultados encorajadores mesmo em contextos de elevada instabilidade nos mercados quando comparado com os modelos de 2 e 3 fatores. Aplicamos, também, os modelos de Nelson e Siegel (1987) para efetuar previsões através de modelos autorregressivos para os seus parâmetros, tal como a literatura indica, e sugerimos um processo alternativo com a mesma finalidade que consiste em modelar diretamente as taxas de juro ajustadas pelos respetivos modelos. Chegamos à conclusão que a qualidade das previsões, geralmente, é superior quando utilizamos o método alternativo e que o modelo de 4 fatores continua a ser válido para efetuar previsões. No entanto, para esse efeito, o modelo de 4 fatores não revela resultados qualitativamente distintos do modelo de 3 fatores como quando avaliamos a sua capacidade para replicar as yield curves dentro da amostra. Por fim, aferimos que a presença de turbulência nos mercados piora significativamente as previsões das taxas de juro de curto prazo mas, regra geral, com o decorrer da maturidade e com o aumento dos desfasamentos para efeitos de previsão, o impacto de crises financeiras sobre a qualidade dos resultados tende a diminuir.In this research we are studying the various extensions to the Nelson e Siegel (1987) model in order to analyze the models which show better results to adjust and forecast the Term Structure of Interest Rates in the Euro Area in the context of major economic and financial crisis. In particular, we show that the 4 factors model, which includes a second slope factor, is the model that best suits the interest rates of the sample, showing satisfactory results in that it captures the various ways that the yield curve assumes over time, showing encouraging results even in environments of high market instability when compared with the 2 and 3 factors models. We apply also the Nelson e Siegel (1987) model to make forecasts using autoregressive models for their parameters, such as the literature indicates, and we suggest an alternative process for the same purpose which is directly modeling the interest rates adjusted for the respective models. We conclude that the quality of forecasts is generally higher when we use the alternative method and the 4 factors model remains valid for forecasting. However, for this purpose, the 4 factors model does not disclose qualitatively distinct results compared to the 3 factors model when evaluating its ability to replicate yield curves in-sample fit. Finally, we verified that the presence of market turbulence worsens significantly forecasts of interest rates of short term but, generally, over the maturity and with increasing lags for forecasting purposes, the impact of financial crisis on quality of results tends to decrease.
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Nedvěd, Adam. "Vysokofrekvenční analýza časové struktury úrokových sazeb." Master's thesis, 2018. http://www.nusl.cz/ntk/nusl-389892.
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This thesis represents an in-depth empirical study of the dependence structures within the term structure of interest rates. Firstly, a comprehensive overview of term structure modelling literature and methods is provided together with a summary of theoretical notions regarding the use of high-frequency data and spectral analysis. Contrary to most studies, the frequency-domain approach is employed, with a special focus on dependency across various quantiles of the joint distribution of the term structure. The main results are obtained using the quantile cross-spectral analysis, a new robust and non-parametric method allowing to uncover dependence structures in quantiles of the joint distribution of multivariate time series. The results are estimated using a dataset consisting of 15 years worth of high-frequency tick-by-tick time series of US Treasury futures. Complex dependence structures are revealed showing signs of both cyclicity and dependence in various parts of the joint distribution of the term structure in the frequency domain. JEL Classification C49, C55, C58, E43, G12, G13 Keywords term structure of interest rates, yield curves, high-frequency analysis, spectral analysis, inter- est rate futures Author's e-mail adam.nedved@fsv.cuni.cz Supervisor's e-mail barunik@fsv.cuni.cz
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Park, Ha-Il. "Term Structure Dynamics with Macroeconomic Factors." 2009. http://hdl.handle.net/1969.1/ETD-TAMU-2009-12-7456.
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Affine term structure models (ATSMs) are known to have a trade-off in predicting future Treasury yields and fitting the time-varying volatility of interest rates. First, I empirically study the role of macroeconomic variables in simultaneously achieving these two goals under affine models. To this end, I incorporate a liquidity demand theory via a measure of the velocity of money into affine models. I find that this
considerably reduces the statistical tension between matching the first and second moments of interest rates. In terms of forecasting yields, the models with the velocity of money outperform among the ATSMs examined, including those with inflation and real activity. My result is robust across maturities, forecasting horizons, risk price specifications, and the number of latent factors. Next, I incorporate latent
macro factors and the spread factor between the short-term Treasury yield and the federal funds rate into an affine term structure model by imposing cross-equation restrictions from no-arbitrage using daily data. In doing so, I identify the highfrequency monetary policy rule that describes the central bank's reaction to expected inflation and real activity at daily frequency. I find that my affine model with macro factors and the spread factor shows better forecasting performance.
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Hung, Ying-Chieh, and 洪英杰. "Fitting Term Structure of Interest Rates in Taiwanese Government Bonds: Using NURBS Curve." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/99599291174303978782.
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碩士國立臺灣科技大學
企業管理系
89
The purpose of this thesis is to fit the term structure of interest rates for Taiwanese government bonds by using NURBS curve. The NURBS curve is used to solve the following problems, which often occur in other models: (1) regression often needs large samples; therefore, it may have sample’s implicit bias when the trade day’s transaction data are not enough, (2) most models have troubles in describing long-term asymptotic rate curve and the convergent values on this curve are sometimes unreasonable, (3) the fluctuation of the curve is not explicit in short-term rate, and (4) it is very difficult to provide any evidence to support the market segmentation theory. We can draw the following empirical conclusions by using NURBS curve: (1) the method we used in the model is well fit in the hypothesis of market segmentation theory, (2) the design of asymptotic curve in long-term rates is matched by the convergent speed and value with market situation, (3) under the design of asymptotic curve, the errors of estimating long-term and short-term bonds are about the same, (4) adopting a few active government bonds data as the control points of the NURBS curve not only smoothes the curve but also corresponds to the true forward rate outcomes, (5) a few active government bonds data to fit the term structure of interest rates conform to market quotations, and eliminate the implicit sample errors from regression, (6) comparing government bond yield’s average error from samples with the biggest difference of daily yield, the result of the NURBS model is reasonable, (7) the model can present the true rate fluctuant situations in predicting rate curve better than any regression methods especially when the term is less than one year.
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Cruz, João Pedro de Brito. "The yield curve as a predictor of recessions in the Euro Area: A multicountry analysis." Master's thesis, 2016. http://hdl.handle.net/10362/18581.
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This paper revisits the role of the yield spread to forecast recessions in the Euro Area. We show that the contribution of the spread can be decomposed into the effect of future expected changes in short term rates and the effect of the term premium. This decomposition is achieved with the use of a no arbitrage affine term structure model incorporating two latent factors that explain level and slope movements in the yield curve. We find that the expectations hypothesis component accounts for most of the predictability of the spread with part of this predictability reflecting the effects of the monetary policy stance. The results suggest, however, that the yield spread predictive content is driven by other factors independent of monetary policy.
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Martins, Filipe Afonso Borges De Castro De Oliveira. "The predictive power of the yeld curve: the portuguese case." Master's thesis, 2020. http://hdl.handle.net/10362/108413.
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This work project studies the historical relation ship between the yield curve and real economic activity in Portugal, comparing results with Germany and Spain.Controlling for other indicators, on average,each percentage point increase in the Portuguese yield spread was associated with a 0.6 pp.increase in real growth over the subsequent year. In general,a longer maturity short-term rate is preferable in Portugal, similarly to Spain. To forecast recessions, as expected, the lower the slope of the yield curve,the higher the probability of a downturn. Spain, an expanded model is more effective for Portugal,whilst for Germany the univariate setup was already relatively a curate. These onclusions could be use ful in Risk Management or in the improvement of a Portuguese leading economic indicator.
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Chen, Changyau, and 陳昶堯. "Comparison of the Ability to Forcast U.S. Treasury Yield of Four Term Structure Models." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/57224191771885728783.
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碩士國立中正大學
企業管理研究所
91
Compare the ability to forcast US treasury yield of four term structure models:Vasicek, CIR, DSR and Longstaff&Schwartz. Turn the close form solutions of bond prices in these term structures into interest rates. Use the method of nonlinear least square to estimate the parameters and calculate residuals of these equations from US treasury yields. Use the residuals as criterion to compare the four term structures. The results reveals that DSR model is better.
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Lourenço, Rafael Mota. "O impacto da política monetária não convencional na yield curve, como indicador avançado da atividade económica, na zona Euro." Master's thesis, 2020. http://hdl.handle.net/10071/21795.
Full textAbstract:
O declive da "Yield Curve", ou o "term spread" - a diferença entre taxas de juro das obrigações de
longo e curto prazo - é historicamente considerado um bom Indicador Avançado da atividade
económica, e um sinalizador de recessões - nos Estados Unidos e na Europa, uma inversão da
"yield curve", é normalmente precedida de uma contração económica.
No entanto, a literatura parece defender que a capacidade da previsão da "yield curve", depende
do tipo de regime de política monetária em que está inserido. Na zona Euro, após a crise
financeira de 2007-09, e a crise das dívidas soberanas 2010-12, percebeu-se que a diminuição
das taxas de juros para mínimos históricos não era suficiente para estimular uma economia
europeia com baixas taxas de crescimento, e em perigo de deflação. Em 2014, começaram a
surgir as primeiras informações sobre o programa de "Quantitative Easing", implementado em
março de 2015.
Por forma a perceber se existe, neste período, algum impacto no "term spread" como Indicador
Avançado, utilizei um modelo econométrico VAR, para estudar a relação entre o "term spread", e
o crescimento económica da zona Euro, no período entre 2004Q3 e 2014Q2.
Comparando os resultados, com o mesmo modelo aplicado ao período após a implementação
do programa de "Quantitative Easing", por parte do BCE, podemos perceber que existiu alguma
perda de significância nesta relação. Algumas razões apontadas são a diminuição "artificial" das
"yields", e o abandono dos fundamentais na valorização dos ativos.
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Kotek, Martin. "Rare Disasters and Asset Pricing Puzzles." Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-347378.
Full textAbstract:
The impact of rare disasters on equity premium and term premium in a New Keynesian DSGE model is explored in the thesis. Andreasen's (2012) model with Epstein-Zin preferences, bonds and a rare disaster shock in total factor productivity process is extended by a variable capital stock and an equity-type asset. We find that the variable capital significantly changes behavior of the model, capital depreciation must be substantially increased to counter the effect of variable capital and stochastic mean of inflation increases. The model calibrated to the US economy and a high risk aversion generates 10-year term premium of 90 basis points, rare disasters increase the premium only by 3 basis points. The equity premium is 163 basis points and rare disasters increase it also only by 3 basis points. The model with a low coefficient of relative risk aversion of 5.5 generates negative risk premia. Rare disasters increase the risk premia by mere 4 basis points in comparison to a model with i.i.d. shocks. Powered by TCPDF (www.tcpdf.org)
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Luo, J., Xiaoxia Ye, and M. Hu. "Counter‐Credit‐Risk Yield Spreads: A Puzzle in China's Corporate Bond Market." 2016. http://hdl.handle.net/10454/11743.
Full textAbstract:
yesIn this paper, using China’s risk-free and corporate zero yields together with aggregate credit risk measures and various control variables from 2006 to 2013, we document a puzzle of counter-credit-risk corporate yield spreads. We interpret this puzzle as a symptom of the immaturity of China’s credit bond market, which reveals a distorted pricing mechanism latent in the fundamental of this market. We also find interesting results about relationships between corporate yield spreads and interest rates as well as risk premia and the stock index, and these results are somewhat attributed to this puzzle.
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Schulan, Alexander. "The effects of the macroeconomy on the yield curve in the short and medium term and on the relative attractiveness of the main asset classes : three empirical essays." Phd thesis, 2009. http://tuprints.ulb.tu-darmstadt.de/1313/1/Endabgabe_ASchulan.pdf.
Full textAbstract:
The thesis analyzes the feedback effects between the real economy and the term structure of interest rates of government bonds. An empirical macro-finance model of the term structure of interest rates focuses on the macroeconomic determinants of the term structure of interest rates in the medium term. The estimation of the model shows that realized macroeconomic volatility (second moment) has an impact on the influence of the macroeconomy (first moment) on the term structure of interest rates. An empirical event study quantifies short term announcement effects of the release of macroeconomic indicators on the level of interest rates of government bonds as well as on the slope and curvature of the term structure of interest rates. A further re-search deals with the feedback effects between the main asset classes and real eco-nomic activity, whereas the relative attractiveness of the main asset classes during the business cycle is empirically analyzed.
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Schulan, Alexander [Verfasser]. "The effects of the macroeconomy on the yield curve in the short and medium term and on the relative attractiveness of the main asset classes : three empirical essays / vorgelegt von Alexander Schulan." 2009. http://d-nb.info/993973957/34.
Full text