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Katarzyna Schmidt
Pág. 7 - 16
Central bank decisions have an impact on the whole economy. Increasing or lowering interest rates as part of a specific policy determines not only changes in macroeconomic aggregates or decisions of financial entities, such as banks, but also has a ...
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Federico Severino, Marzia A. Cremona, Éric Dadié
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Sanja Nenadovic
Pág. 8 - 19
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Marco Di Francesco and Kevin Kamm
In this paper, we propose a new exogenous model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox?Ingersoll?Ross (CIR) model with a perfect fit to the observed term-structure. We use the diff...
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Stelios Bekiros and Christos Avdoulas
We examined the dynamic linkages among money market interest rates in the so-called ?BRICS? countries (Brazil, Russia, India, China, and South Africa) by using weekly data of the overnight, one-, three-, and six- months, as well as of one year, Treasury ...
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Hokuto Ishii
In this paper, we examined and compared the forecast performances of the dynamic Nelson?Siegel (DNS), dynamic Nelson?Siegel?Svensson (DNSS), and arbitrage-free Nelson?Siegel (AFNS) models after the financial crisis period. The best model for the forecast...
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Adonias Evaristo da Costa Filho
Pág. 1 - 21
This paper estimates the term structure of natural interest rates for Brazil, a generalization of the concept of natural rate of interest for the yield curve. First, the Diebold-Li (2006) model is estimated with real yields. The latent factors of this mo...
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Bo?ena Chovancová, Michaela Dorocáková and Dagmar Linnertová
A high liquidity, low expense ratio and the possibility to conduct arbitrage allow exchange-traded funds (ETFs) to be used for short sales. Bearish investors can also buy inverse ETFs. This paper aims to outline two investment approaches for bearish ETF ...
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Ailton Cassettari,Jose Raymundo Novaes Chiappin
Pág. 337 - 369
The focus of the paper is to present a new methodology for forecasting the Term Structure of Interest Rates (ETTJ). The objective is to answer the question: given the ETTJ curve at any given time, what is the ETTJ at a future date? Thus, we seek to const...
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Felipe Stona,Jean Amann,Maurício Delago Morais,Divanildo Triches,Igor Clemente Morais
Pág. 650 - 690
This article aims to investigate the relationship between the term structure of interest rates and macroeconomic factors in selected countries of Latin America, such as Brazil, Chile and Mexico, between 2006 and 2014, on an autoregressive vector model. S...
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