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Authors
Advisor(s)
Abstract(s)
O aparecimento de obrigações com taxas de juro negativas apresenta desafios significativos para os mercados de rendimento fixo, principalmente com os métodos de ajuste e previsão. O modelo de Nelson-Siegel-Svensson (NSS) é, na maioria dos casos, adotado pelos bancos centrais para estimar a estrutura a prazo das taxas de juros.
Neste estudo, foi escolhido o modelo NSS para ajustar as curvas de taxa de juro de um conjunto de países que registaram obrigações soberanas com taxas de juro negativas. Não foram feitas alterações ou restrições ao modelo ou aos seus parâmetros. Foi aplicado com ferramentas amigáveis, amplamente disponíveis e simples. O modelo ajustou-se bem para todas as curvas de taxa dos países, mesmo com dados parciais de taxas de juro das obrigações. Uma comparação entre a taxa de juros instantânea do mercado e a taxa de juro para um futuro muito distante, que o modelo pode prever, foi feito, com bons resultados para a taxa de juro instantânea.
Uma vez que o principal conjunto de países, incluído no estudo, está dentro da zona do Euro, foi analisado o possível comportamento de uma dívida partilhada (ou seja, Eurobonds).
O modelo NSS pode ser uma ferramenta valiosa, fácil de usar e adaptável, para ajustar a curva de taxas de juro negativas, para uso das instituições de política monetária e dos operadores do mercado, pelo menos de forma estática.
The appearance of negative bond yields presents significant challenges to the fixed income markets, mainly to the adjust and forecasting methods. The Nelson-Siegel-Svensson model (NSS) is in most cases adopted by central banks to estimate the term structure of interest rates. In this study, it was chosen the NSS model to fit the yield curves of a set of countries which registered negative sovereign bond yields. No changes or constraints were done to the model or its parameters. It was applied with friendly, widely available, and simple tools. The model adjusted well for all countries yield curves, even with partial bond yields data. A comparison between market instantaneous interest rate and interest rate for a very distant future, that the model can predict, was done, with good results for the instantaneous interest rate. Since the main set of countries, included in the study, are within the Eurozone, an evaluation of a shared debt securities (i.e. Eurobonds) possible behaviour was analysed. The NSS model can be a valuable, easy to use and adaptable tool, to fit the yield curve with negative yields, for the use of the monetary policy institutions and market players, at least in a static way.
The appearance of negative bond yields presents significant challenges to the fixed income markets, mainly to the adjust and forecasting methods. The Nelson-Siegel-Svensson model (NSS) is in most cases adopted by central banks to estimate the term structure of interest rates. In this study, it was chosen the NSS model to fit the yield curves of a set of countries which registered negative sovereign bond yields. No changes or constraints were done to the model or its parameters. It was applied with friendly, widely available, and simple tools. The model adjusted well for all countries yield curves, even with partial bond yields data. A comparison between market instantaneous interest rate and interest rate for a very distant future, that the model can predict, was done, with good results for the instantaneous interest rate. Since the main set of countries, included in the study, are within the Eurozone, an evaluation of a shared debt securities (i.e. Eurobonds) possible behaviour was analysed. The NSS model can be a valuable, easy to use and adaptable tool, to fit the yield curve with negative yields, for the use of the monetary policy institutions and market players, at least in a static way.
Description
Mestrado em Finanças
Keywords
curva de taxas de juro taxas de juro negativas de obrigações Eurobonds modelo de Nelson-Siegel-Svensson yield curve negative bond yields Eurobonds Nelson-Siegel-Svensson model
Pedagogical Context
Citation
Carvalho, Vítor Hugo Ferreira (2017). "A static approach to the Nelson-Siegel-Svensson model : application to several negative yields cases". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Publisher
Instituto Superior de Economia e Gestão