Term Structure of Interest Rates with B-Spline Model during the Money-Shortage-Event in China

2014 ◽  
Vol 989-994 ◽  
pp. 5634-5637
Author(s):  
Peng Zheng ◽  
Lian Qiang Yang ◽  
Zhen Ni Dai
Keyword(s):  
Structural Change ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curves ◽  
B Spline ◽  
Parametric Test ◽  
B Splines ◽  
Price Data ◽  
Significant Structural Change ◽  
Total Test

Using the price data of bonds’ transactions during June 2013, the discounting function is fitted by non-uniform cubic B-Splines and yield curves are modeled. Models’ single parametric test and total test are both significant. Furthermore, the structural change’s test shows that there is no significant structural change between adjacent transaction days, which means that the bonds’ market is relatively steady during June 2013.

Yield Curves, Swap Curves, and Term Structure of Interest Rates

2019 ◽  
pp. 203-228
Author(s):  
Tom P. Davis ◽  
Dmitri Mossessian
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Yield Curves ◽  
No Arbitrage ◽  
Interest Rate Swap ◽  
The Interest Rate ◽  
Rate Swap ◽  
The U.S

This chapter discusses multiple definitions of the yield curve and provides a conceptual understanding on the construction of yield curves for several markets. It reviews several definitions of the yield curve and examines the basic principles of the arbitrage-free pricing as they apply to yield curve construction. The chapter also reviews cases in which the no-arbitrage assumption is dropped from the yield curve, and then moves to specifics of the arbitrage-free curve construction for bond and swap markets. The concepts of equilibrium and market curves are introduced. The details of construction of both types of the curve are illustrated with examples from the U.S. Treasury market and the U.S. interest rate swap market. The chapter concludes by examining the major changes to the swap curve construction process caused by the financial crisis of 2007–2008 that made a profound impact on the interest rate swap markets.

scholarly journals Brazilian term structure of interest rate modeling: A Nelson-Siegel approach

2016 ◽  
Vol 14 (1) ◽  
pp. 414-432
Author(s):  
Adalto Barbaceia Gonçalves ◽  
Felipe Tumenas Marques
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Future Research ◽  
Model Parameters ◽  
Extensive Literature ◽  
Bond Markets ◽  
Fixed Rate ◽  
Yield Curves ◽  
Vec Model ◽  
Parsimonious Models

Forecasting interest rates structures plays a fundamental role in the fixed income and bond markets. The development of dynamic modeling, especially after Nelson and Siegel (1987) work, parsimonious models based in a few parameter shed light over a new path for the market players. Despite the extensive literature on the term structure of interest rates modeling and the existence in the Brazilian market of various yield curves from different traded asset classes, the literature focused only in the fixed rate curve. In this work we expand the existing literature on modeling the term structure of Brazilian interest rates evaluating all the yield curves of Brazilian market using the methodology proposed by Nelson and Siegel. We use Non Linear Least Squares (NLLS) to estimate the model parameters for almost 10 years of monthly data and model these parameters with the traditional VAR/VEC model. The results show that it is possible to estimate the Nelson Siegel model for the Brazilian curves. It remains for future research the modeling of their variances as well as the possibility to develop a global Brazilian model using Kalman Filter using the Diebold. Li. and Yue (2006) approach.

scholarly journals Title: analysis of term structure of interest rates in Latin America countries from 2006 to 2014

2015 ◽  
Vol 13 (4) ◽  
pp. 650
Author(s):  
Felipe Stona ◽  
Jean Amann ◽  
Maurício Delago Morais ◽  
Divanildo Triches ◽  
Igor Clemente Morais
Keyword(s):  
Latin America ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Principal Component ◽  
Vector Model ◽  
Yield Curves ◽  
Macroeconomic Factors ◽  
The Relationship ◽  
Latin America Countries

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. Specifically, we perform estimations of Nelson-Siegel, Diabold-Li and principal component analysis to test how the change of macroeconomic factors, e.g. inflation, production and unemployment levels affect the yield curves. For Brazil and Mexico, GDP and inflation variables are relevant to change the yield curves, with the former shifting more the level, and the latter with greater influence on the slope. For Chile, inflation had the greatest impact on the level and, specifically for Mexico, the unemployment variable also changed the slope of the yield curve.

scholarly journals Structural change and productivity growth in Brazil: where do we stand?

2020 ◽  
Vol 40 (2) ◽  
pp. 243-263
Author(s):  
ANDRÉ NASSIF ◽  
LUCILENE MORANDI ◽  
ELIANE ARAÚJO ◽  
CARMEM FEIJÓ
Keyword(s):  
Structural Change ◽  
Interest Rates ◽  
Labor Productivity ◽  
Productivity Growth ◽  
Labour Productivity ◽  
Trade Openness ◽  
Labor Productivity Growth ◽  
Catching Up ◽  
Significant Structural Change ◽  
Low Degree

ABSTRACT The aim of this paper is to discuss the evolution of the Brazilian labour productivity in the 1990s and 2000s to shed some light on the resilience of the Brazilian economy to recover growth. Labor productivity growth in Brazil, after showing positive annual rates between 1950 and 1979, became stagnant after 1980. Following McMillan and Rodrik’s (2011) methodology, this paper at first decompose labor productivity growth in the period 1950-2011, according to “structural change” (which is considered growth-enhancing) and “within effect” (which is growth-reducing, if not accompanied by significant structural change while the country is still pursuing its catching-up process). Next, an econometric exercised is presented to explain the determinants of the structural change component of the labour productivity since economic opening in the 1990s. The results show that the stagnation of the Brazilian productivity is explained by the overvaluation trend of the Brazilian currency, the reprimarization of the export basket, the low degree of Brazil’s trade openness and the high real interest rates prevailing in the period.

Bayesian smoothing spline models and their application in estimating yield curves

2015 ◽  
Author(s):  
◽  
Xiaojun Tong
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Smoothing Spline ◽  
Calendar Time ◽  
Yield Data ◽  
Yield Curves ◽  
Adaptive Smoothing ◽  
Spline Models ◽  
Bayesian Smoothing

[ACCESS RESTRICTED TO THE UNIVERSITY OF MISSOURI AT AUTHOR'S REQUEST.] The term structure of interest rates, also called the yield curve, is the series of interest rates ordered by term to maturity at a given time. The smoothing spline as a nonparametric regression method has been used widely for fitting a smooth curve due to its flexibility and smoothing properties. In this dissertation, a class of Bayesian smoothing spline models is developed for the yield curve estimation under different scenarios. These include the Bayesian smoothing spline model for estimating the Treasury yield curves, the Bayesian multivariate smoothing spline model for estimating multiple yield curves jointly, the Bayesian adaptive smoothing spline model for dealing with the yield data in which the smoothness varies significantly, the Bayesian smoothing spline model for extracting the zero-coupon yield curve from coupon bond prices, and the Bayesian thin-plate splines for modeling the yield curves on both the calendar time and the maturity. In addition, the Bayesian model selection in the smoothing spline models is developed to test the nonlinearity of the yield curves.

scholarly journals Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines

2020 ◽  
Vol 13 (4) ◽  
pp. 65
Author(s):  
Eduardo Mineo ◽  
Airlane Pereira Alencar ◽  
Marcelo Moura ◽  
Antonio Elias Fabris
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Parametric Models ◽  
Parametric Curve ◽  
Middle Term ◽  
No Arbitrage ◽  
B Splines ◽  
Curve Model ◽  
Mean Square Errors

The Nelson–Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for sensible term structure shapes affecting forecast results. We propose DCOBS with no-arbitrage restrictions, a dynamic constrained smoothing B-splines yield curve model. Even though DCOBS may provide more volatile forward curves than parametric models, they are still more accurate than those from Nelson–Siegel frameworks. DCOBS has been evaluated for ten years of US Daily Treasury Yield Curve Rates, and it is consistent with stylized facts of yield curves. DCOBS has great predictability power, especially in short and middle-term forecast, and has shown greater stability and lower root mean square errors than an Arbitrage-Free Nelson–Siegel model.

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