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Takeshi Kobayashi
This study extracts the common factors from firm-based credit spreads of major Japanese corporate bonds and examines the predictive content of the credit spread on the real economy. Instead of employing single-maturity corporate bond spreads, we focus on...
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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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Hokuto Ishii
This paper investigates the predictability of exchange rate changes by extracting the factors from the three-, four-, and five-factor model of the relative Nelson?Siegel class. Our empirical analysis shows that the relative spread factors are important f...
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Sofia Kusiak Meirelles,Marcelo Fernandes
Pág. 179 - 219
This paper aims to statistically compare the performance of two hedging strategies for Brazilian fixed income portfolios, with discrete rebalancing. The first hedging strategy matches duration, and hence it considers only small parallel changes in the yi...
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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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Rafael Barros de Rezende
Pág. 27 - 49
This paper compares the interpolation abilities of nonparametric and parametric term structure models which are widely used by the main Central Banks of the world. Seeking the combination of smoothness and flexibility, a new Nelson-Siegel class model is ...
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