Made available in DSpace on 2016-08-02T21:42:39Z (GMT). No. of bitstreams: 1 RafaelNapoleone.pdf: 398672 bytes, checksum: 205d94e713a895763ec8dd06adf428f4 (MD5) Previous issue date: 2014-09-24 / The market reaction related to the changes in the benchmark interest rate is relevant for the whole economy. The knowledge of the relation between monetary policy and interest rates are extremely important, since monetary surprises, in other words, mistakes in the market regarding changes Selic rate target prediction, that can affect interest rates from different maturity or maturities, directly impacting the Financial Administration. The aim of this study was to analyze the variation of the Brazilian Term Structure of Interest Rates (ETTJ) monetary surprises when checked at the time of the decision of the Brazilian Monetary Policy Committee (Copom) on the Selic rate target. For that reason, a quantitative descriptive study, which considered 88 regular meetings of the Copom in the period from January, 2004 to December, 2013 was developed. Monetary surprises were identified through two distinct ways. The first one considered rates of DI1 corresponding to the last trade on the floor of the Copom meeting s date, and the rate of the first transaction done in the next trading session. Thus 11 monetary surprises were identified. The second form averaged rates observed in the same contracts and occasions mentioned above, and thus, 10 monetary surprises were identified. For the analysis of the relation between variations of the yield curve and monetary surprises were considered maturities of 2, 3, 6, 9, 12, 15, 18 and 24 months. As a result it was observed that monetary surprises and changes in the yield curve are directly proportional, moving on in the same direction for the two distinct forms of monetary surprises identified in this study. Furthermore, it was used in the analysis of unanimity in the decision of the Copom to test their informational content, and it was observed, as a result, a smaller variation of ETTJ when the Copom decision was unanimous. In summary, it is meant that the results of this study are in line those presented by other authors, it is possible to prove the correlation between the variation of the yield curve and monetary surprises as well as verify that the magnitude of the variations decreases throughout ETTJ, a fact that may be related to the transparency of monetary policy and national experience in term of the inflation targeting system. / A reação dos mercados às alterações na taxa básica de juros é relevante para toda a economia. O entendimento da relação entre a política monetária e as taxas de juros é de extrema importância, uma vez que surpresas monetárias, ou seja, os erros de previsão do mercado a respeito das alterações da meta da Taxa Selic, podem afetar as taxas de juros de diferentes maturidades ou vencimentos, impactando diretamente a Administração Financeira. O objetivo deste estudo foi analisar a variação da Estrutura a Termo da Taxa de Juros (ETTJ) quando verificadas surpresas monetárias na ocasião da decisão do Comitê de Política Monetária (Copom) a respeito da meta da Taxa Selic. Para isso, foi desenvolvido um estudo descritivo quantitativo, que considerou as 88 reuniões ordinárias do Copom realizadas no período de janeiro de 2004 a dezembro de 2013. As surpresas monetárias foram identificadas através de duas formas distintas. Na primeira forma foram consideradas as taxas do contrato de DI1 referente ao último negócio realizado no pregão da data da reunião do Copom, e a taxa do primeiro negócio realizado no pregão seguinte. Desta maneira foram identificadas 11 surpresas monetárias. Na segunda forma foram consideradas as taxas médias verificadas nos mesmos contratos e ocasiões citados anteriormente, sendo assim identificadas 10 surpresas monetárias. Já para a análise da relação entre as variações da ETTJ e as surpresas monetárias foram considerados os vencimentos de 2, 3, 6, 9, 12, 15, 18 e 24 meses. Como resultado foi possível observar que as surpresas monetárias e as variações na ETTJ são diretamente proporcionais, movendo-se na mesma direção, para as duas formas distintas de surpresas monetárias identificadas neste estudo. Além disso, foi empregada nas análises a questão da unanimidade na decisão do Copom, com o objetivo testar o seu conteúdo informacional, e observou-se como resultado uma menor variação da ETTJ em ocasiões em que a decisão do Copom foi unânime. Em resumo, entende-se que os resultados encontrados no presente estudo estão em linha aos apresentados por outros autores, sendo possível comprovar a correlação existente entre as variações da ETTJ e as surpresas monetárias, bem como verificar que a magnitude das variações diminui ao longo da ETTJ, fato este que pode ser relacionado à transparência da política monetária nacional e à experiência na vigência do sistema de metas para a inflação.

A estimação da estrutura da taxa de juros é relevante por duas razões fundamentais: em primeiro lugar é considerado como um indicador antecipado de política, sendo uma das principais ferramentas para os bancos centrais como instrumento de política monetária; em segundo lugar, através da curva de rendimentos é possível fazer valoração de ativos financeiros. A causa da sua relevância, tanto na área macroeconômica e como no campo financeiro, uma ampla literatura dedicada a estimá-la se desenvolveu. Neste sentido, o objetivo deste documento é a previsão da curva de rendimentos da Colômbia através da metodologia de Spectrum Singular Analysis (SSA) durante o período 2006-2014. Para a previsão são usados parâmetros diários estimados pelo modelo de fatores de Nelson e Siegel (1987). Os resultados indicam ganhos na acurácia preditiva fora da amostra da abordagem de MSSA em relação ao modelo Random Walk e outros benchmarks amplamente usados na literatura, principalmente nos horizontes de previsão mais curtos. Os resultados são estatisticamente significantes. Assim mesmo, observasse que o MSSA se ajusta melhor que os modelos competidores em todos os horizontes para as previsões das menores maturidades. / The estimation of the Yield curve is relevant because of two fundamental reasons: firstly, it is considered an anticipated indicator of economic policies, being one of the principal central banks tools as instrument of monetary policy; secondly, through this estimation it is possible to valuate financial assets. Due to its relevance in the macroeconomics area and the financial field, an extensive literature has been dedicated to its estimation. Concerning that, the goal of this document is to get a prediction of Colombia’s yield curve through the Spectrum Singular Analysis (SSA) from 2006 to 2014. Daily estimated parameters by Nelson and Siegel (1987) factors model are used to obtain the prognostication. Results are statistically significant and indicate gains of the MMSA on the accuracy of previsions out of the sample in relation to the Random Walk competitor model and other benchmarks widely used in literature, mainly on short term previsions. Likewise, we observe that the MSSA method is better adjusted than competitors’ models in all the horizons for the previsions where maturity is lower. / La estimación de la curva de rendimientos es relevante por dos razones fundamentales: en primer lugar es considerado como un indicador anticipado de política económica, siendo una de las principales herramientas para los bancos centrales como instrumento de política monetaria; en segundo lugar, a través de esta es posible realizar valoración de activos financieros. Dada su relevancia tanto en el área macroeconómica como en el campo financiero una amplia literatura ha sido dedicada a su estimación. En este sentido, el objetivo de este documento es la previsión de la curva de rendimientos de Colombia a través de la metodología de Spectrum Singular Analysis (SSA) durante noviembre de 2006 a diciembre de 2014. Para su pronóstico son usados los parámetros diarios estimados por el modelo de factores de Nelson e Siegel (1987). Los resultados son estadísticamente significativos e indican ganancias del método MSSA en la precisión de las previsiones fuera de la muestra principalmente en horizontes de previsión más cortos en relación al Random Walk y otros benchmarks ampliamente usados en la literatura. Así mismo, se observa que el método MSSA se ajusta mejor que los modelos competidores en todos los horizontes para las previsiones donde el vencimiento es menor.

A solução da maioria dos problemas práticos enfrentados por administradores financeiros passa pela identificação prévia do custo de oportunidade para investimentos de diferentes prazos e riscos. Este trabalho busca, no conjunto de seus capítulos, realizar uma avaliação crítica das propriedades da estrutura temporal de taxas de juros em reais e de sua utilização como variável exógena fundamental na análise financeira. Sem a pretensão de esgotar qualquer dos temas abordados, procurou-se estabelecer a curva de juros para investimentos livres de riscos em moeda nacional e, através de um conjunto de testes empíricos e observações informais de séries de dados de mercado, identificar peculiaridades que possam invalidar a implementação no Brasil de modelos desenvolvidos no contexto internacional. Dados os aspectos característicos do mercado doméstico evidenciados nos estudos, foram apresentados modelos explicativos tanto para a formação das taxas prefixadas de período quanto para a determinação da remuneração de operações financeiras indexadas à taxa referencial TR. / The solution to most of the problems facing financial managers requires prior identification of the cost of money for different maturities and risks. This paper aims, in its overall content, to examine the Brazilian currency yield curve’s properties and its supporting role in financial analysis. With no intention of exhausting any of the tackled subjects, the Real risk-free term structure was defined and a set of empirical tests performed to identify, with the support of additional data observation, local market’s peculiarities that might prevent international models from being accurately applied in Brazil. Given the domestic market’s distinguishing features emphasized in the studies, models were proposed to explain how short term interest rates are determined in the marketplace for derivatives, and to allow the pricing of financial instruments indexed to the so called TR benchmark (Taxa Referencial).

La crise financière de ces dernières années a relancé le débat sur le caractère dit « sans risque de défaut » des obligations souveraines. Face aux enjeux économiques et financiers, les établissements de crédit et les Institutions Financières ont du revoir les méthodes d’évaluation des obligations. Cette thèse a pour objectif la modélisation et la Gestion des prix obligataires et s’articule autour de quatre points. Dans le premier point, nous avons présenté les approches théoriques portant sur les modèles traditionnels des taux d’intérêt. Dans le second point, nous avons conçu un modèle test nommé M-M en discrétisant les modèles à temps continu du taux d’intérêt court et en recourant aux modèles de la famille GARCH. Ce modèle est construit en incorporant les effets niveau des taux d’intérêt à court terme et GARCH (1,1). Les résultats de l’estimation du modèle M-M suggère la nécessité de tenir compte des deux effets pour la modélisation des rendements des bons du Trésor américain. Le troisième point consiste à extraire les facteurs que l’on peut interpréter comme le niveau, la pente et la courbure. Ces facteurs sont extraits à partir de deux modèles qui sont des extensions dynamiques de la fonctionnelle de Nelson et Siegel. Les courbes des taux utilisés sont celles des Etats-Unis, de la France et de l’Afrique du Sud. La présence de l’Afrique du Sud dans cette étude est due à notre envie de traiter la structure par terme des taux d’intérêt d’un pays africain et aussi son économie émergente. A l’aide des proxies, et d’une ACP sur la courbe des taux de ces trois pays, ces facteurs ont été analysés sur la base de leur qualité d’ajustement. Le dernier point a pour but de traiter les indicateurs macroéconomiques et financiers qui peuvent expliquer les facteurs endogènes extraits. / The financial crisis of recent years has re-opened the debate of the so-called "risk-free" government bonds. Faced with economic and financial issues, credit institutions and financial institutions had reviewed the methods of bonds evaluation. The aim of this thesis is the modeling and management of the bonds prices and is organized on four points. In the first point, we present theoretical approaches on traditional models of interest rates. In the second point, we design a test model named M-M by discretizing the continuous-time models of the short interest rate and using the GARCH family models. This model is constructed by incorporating the level effect of the short term interest rates and GARCH (1,1) effect. The M-M estimation results suggest considering both effects for modeling Treasury bills yields. The third point determines the factors that can be interpreted as the level, slope and curvature, these factors are extracted from two models that are dynamics extensions of the Nelson and Siegel functional. We use Yield Curves of the United States, France and South Africa. The presence of South Africa in this study is due to our desire to treat the term structure of interest rates in an African country which is an emerging economy as well. These factors were analyzed on the basis of their goodness of fit. The last point aims to address macroeconomic and financial indicators that can explain the endogenous factors.

[pt] Evidências empíricas de estimativas de modelos VAR em forma reduzida mostram que houve uma mudança na maneira que a curva de juros brasileira reage à choques de política monetária. Para melhor entender a razão desta mudança, estimamos um DSGE linearizado, acrescido de uma estrutura à termo para as taxas de juros, sobre dois períodos amostrais para verificar quais parâmetros da economia poderiam causado essa mudança. O método de linearização envolve um termo de ajuste que permite a existência de prêmio à termo e gera um estado estacionário ajustado pela volatilidade. Nós discutimos as evidências empíricas, comparamos o método de solução com outro métodos mais tradicionais e estimamos um modelo com preferências Epstein-Zin usando métodos bayesianos. Nós encontramos que nosso modelo estrutural é capaz de capturar algumas das mudanças de comportamento, que é causada principalmente por um menor coeficiente associado à inflação na regra de juros e por maior persistência dos choques monetários. / [en] Empirical evidence from reduced form VAR estimates shows that there has been a change in the way that the Brazilian yield curve reacts to a monetary policy shock. To better understand the sources of this change we estimated a linearized DSGE model with a term structure of interest rates over two sample periods to see what parameters of the economy might have caused the change. The linearization method is augmented with a risk adjustment term in order to generate a positive term spread and a risk-adjusted steady state. We discuss the empirical evidence, compare the solution methods with other traditional methods and estimate a model with Epstein-Zin preferences using Bayesian methods.We find that our structural model is capable of capturing some of the changes of behavior, and it is caused mainly by a smaller inflation coefficient of the interest rate rule and higher persistence of monetary policy shocks.

This thesis analyzes the effect of the Czech National Bank's (CNB) communica- tion on the interest rate volatility (PRJBOR reference rate). Starting with the literature survey about the central bank communication in the world, I focus on the literature that concerns the CNB. To model the CNB's communication, I use the GARCH(l,1), EGARCH(l,1) and TARCH(l,1) models. I have created a unique data set containing the dummy variables for the CNB communication. The results are as follows: (a) the CNB's communication tends to decrease the volatility, (b) timing of the communication has a key role as the comments closer to the meeting have bigger calming effect, and that (c) there is no clear effect concerning the comments of the Bank Board members in the media. JEL Classification Keywords E43, E44, E52, E58 Czech National Bank, monetary policy signaling, central bank communication, the term structure of interest rates, GARCH analysis Author's email karasp@email.cz Supervisors's email roman. horvath@gmail.com

Diese Arbeit besteht aus vier Essays, die empirische und methodische Beiträge zu den Gebieten der Finanzmarktökonomik und der Makroökonomik liefern. Der erste Essay beschäftigt sich mit der Spezifikation der Investoren verfügbaren Informationsmenge in Tests bedingter Kapitalmarktmodelle. Im Speziellen schlägt es die Verwendung dynamischer Faktoren als Instrumente vor. Diese fassen per Konstruktion die Information in einer Vielzahl von Variablen zusammen und stellen daher intuitive Maße für die Investoren zur Verfügung stehenden Informationen dar. Es wird gezeigt, dass so die Schätzfehler bedingter Modelle im Vergleich zu traditionellen, auf einzelnen Indikatoren beruhenden Modellvarianten substantiell verringert werden. Ausgehend von Ergebnissen, dass die Zentralbank zur Festlegung des kurzfristigen Zinssatzes eine große Menge an Informationen berücksichtigt, wird im zweiten Essay im Rahmen eines affinen Zinsstrukturmodells eine ähnliche Idee verwandt. Speziell wird die Dynamik des kurzfristigen Zinses im Rahmen einer Faktor-Vektorautoregression modelliert. Aufbauend auf dieser dynamischen Charakterisierung der Geldpolitik wird dann die Zinsstruktur unter der Annahme fehlender Arbitragemöglichkeiten hergeleitet. Das resultierende Modell liefert bessere Vorhersagen US-amerikanischer Anleihenzinsen als eine Reihe von Vergleichsmodellen. Der dritte Essay analysiert die Vorhersagekraft der Zinsstrukturkomponenten "level", "slope", und "curvature" im Rahmen eines dynamischen Faktormodells für makroökonomische und Zinsdaten. Das Modell wird mit einem Metropolis-within-Gibbs Sampling Verfahren geschätzt, und Überraschungsänderungen der drei Komponenten werden mit Hilfe von Null- und Vorzeichenrestriktionen identifiziert. Die Analyse offenbart, dass der "curvature"-Faktor informativer in Bezug auf die zukünftige Entwicklung der Zinsstruktur und der gesamtwirtschaftlichen Aktivität ist als bislang vermutet. Der vierte Essay legt eine monatliche Chronologie der Konjunkturzyklen im Euro-Raum vor. Zunächst wird mit Hilfe einer verallgemeinerten Interpolationsmethode eine monatliche Zeitreihe des europäischen BIP konstruiert. Anschließend wird auf diese Zeitreihe ein Datierungsverfahren angewandt, das kurze und flache Konjunkturphasen ausschließt. / This thesis consists of four essays of independent interest which make empirical and methodological contributions to the fields of financial economics and macroeconomics. The first essay deals with the proper specification of investors’ information set in tests of conditional asset pricing models. In particular, it advances the use of dynamic factors as conditioning variables. By construction, dynamic factors summarize the information in a large number of variables and are therefore intuitively appealing proxies for the information set available to investors. The essay demonstrates that this approach substantially reduces the pricing errors implied by conditional models with respect to traditional approaches that use individual indicators as instruments. Following previous evidence that the central bank uses a large set of conditioning information when setting short-term interest rates, the second essay employs a similar insight in a model of the term structure of interest rates. Precisely, the dynamics of the short-term interest rate are modelled using a Factor-Augmented Vector-Autoregression. Based on this dynamic characterization of monetary policy, the term structure of interest rates is derived under the assumption of no-arbitrage. The resulting model is shown to provide superior out-of-sample forecasts of US government bond yields with respect to a number of benchmark models. The third essay analyzes the predictive information carried by the yield curve components level, slope, and curvature within a joint dynamic factor model of macroeconomic and interest rate data. The model is estimated using a Metropolis-within-Gibbs sampling approach and unexpected changes of the yield curve components are identified employing a combination of zero and sign restrictions. The analysis reveals that the curvature factor is more informative about the future evolution of the yield curve and of economic activity than has previously been acknowledged. The fourth essay provides a monthly business cycle chronology for the Euro area. A monthly series of Euro area real GDP is constructed using an interpolation routine that nests previously suggested approaches as special cases. Then, a dating routine is applied to the interpolated series which excludes business cycle phases that are short and flat.

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. / <p>Diss. Stockholm :  Stockholm School of Economics, 2014. Introduction together with 4 papers.</p>

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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