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Giving Flexibility to the Nelson-Siegel Class of Term Structure Models
Brazilian Review of Finance
View Archive Info| Field | Value | |
| Title |
Giving Flexibility to the Nelson-Siegel Class of Term Structure Models
Flexibilizando os Modelos de Estrutura a Termo da Classe Nelson-Siegel |
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| Creator |
de Rezende, Rafael Barros; Stockholm School of Economics - Department of Finance
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| Subject |
Economics; Finance; Econometrics
Spot Curve, Forward Curve, Nelson-Siegel models, smoothing spline E43, G12 Economia; Finanças; Econometria Curva Spot; Curva Forward; modelos Nelson-Siegel; smoothing spline E43, G12 |
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| Description |
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 introduced. It emerges as an extension of the Svensson (1994) and the five factor model proposed by De Rezende and Ferreira (2008) and Christensen, Diebold and Rudebusch (2008). It is shown the superiority of the smoothing spline model in interpolating the spot and forward rates as well as the advantage of the proposed model over the other Nelson-Siegel models. The superiority of the smoothing spline, however, comes with a cost: its instability in fitting the initial vertices of the term structure. The proposed model, on the other hand, exhibits the desirable properties of smoothness and flexibility, especially for the forward rates and the spot rates of medium and long terms.
Este artigo compara as habilidades de interpolação de modelos não-paramétricos e paramétricos da estrutura a termo amplamente utilizados pelos principais bancos centrais do mundo. Buscando a combinação de alisamento e flexibilidade, um novo modelo da classe Nelson-Siegel é introduzido. Ele surge como uma extensão do modelo de Svensson (1994) e do modelo de cinco fatores proposto por De Rezende e Ferreira (2008) e Christensen Diebold e Rudebusch (2008). É mostrada a superioridade do modelo smoothing spline na interpolação das curvas spot e forward, bem como a vantagem do modelo proposto em relação a outros modelos Nelson-Siegel. A superioridade do smoothing spline, porém, vem com um custo: sua instabilidade ao interpolar os vértices iniciais da estrutura a termo. O modelo proposto, por outro lado, apresenta as propriedades desejáveis de alisamento e flexibilidade, especialmente ao interpolar as taxas forward e as taxas spot de médio e longo prazos. |
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| Publisher |
Link to the Brazilian Society of Finance
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| Contributor |
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| Date |
2010-10-24
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Double blind reviewed articles — Avaliado por Pares Artigo Empírico |
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| Format |
application/pdf
application/pdf |
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/2579
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| Source |
Brazilian Review of Finance; Vol 9, No 1 (2011); 27-49
Revista Brasileira de Finanças; Vol 9, No 1 (2011); 27-49 1984-5146 1679-0731 |
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| Language |
eng
por |
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/2579/2154
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/2579/2155 http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/downloadSuppFile/2579/414 http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/downloadSuppFile/2579/444 http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/downloadSuppFile/2579/445 |
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