Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate

International Journal of Emerging Technologies in Learning (iJET)

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Title Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate
Modelos de Difusão com Salto para a Taxa de Juros de Curto Prazo no Brasil
 
Creator Cavalcante Filho, José Carlos Nogueira
Gonçalves, Edson Daniel Lopes
 
Subject Stochastic process
Broadcasts
Selic rate
Poisson jumps
Fixed income
Processo estocástico
Difusões
Taxa SELIC
Saltos de Poisson
Renda fixa
 
Description In order to capture the informational effect of the Brazilian short-term interest rate (SELIC rate) by Poisson jumps, we build on the tests conducted by Das (2002) and Johannes (2004), which show the significance of such structures for U.S. Federal Open Market Committee (FOMC) announcements. As in the above researches, we have found evidence that a relevant amount of the short-term volatility in the fixed income market is captured by introducing jumps on the stochastic process of the short-term rate. This structure also allows the verification of the information content of specific events, such as Brazilian monetary policy authority (COPOM) meetings and public bond auctions.
A fim de captar o efeito informacional da taxa de juros brasileira de curto prazo (taxa SELIC) por saltos de Poisson, nos baseamos nos testes realizados por Das (2002) e Johannes (2004), que mostram a importância de tais estruturas para os anúncios do Comitê Federal Americano de Mercado aberto (U.S. Federal Open Market Committee - FOMC). Como nas pesquisas mencionadas, encontramos evidências de que uma quantidade relevante da volatilidade de curto prazo no mercado de renda fixa é capturada através da introdução de saltos sobre o processo estocástico da taxa de curto prazo. Essa estrutura também permite a verificação do conteúdo de informação de eventos específicos, tais como reuniões do Comitê de Política Monetária brasileira (COPOM) e leilões de títulos públicos.
 
Publisher FUCAPE Business Shool
 
Date 2015-01-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
 
Format application/pdf
application/pdf
 
Identifier http://bbronline.com.br/index.php/bbr/article/view/91
10.15728/bbr.2015.12.1.4
 
Source Brazilian Business Review; Vol. 12 No. 1 (2015): January to February 2015; 80-103
Brazilian Business Review; v. 12 n. 1 (2015): Janeiro a Fevereiro de 2015; 80-103
1808-2386
1807-734X
 
Language eng
por
 
Relation http://bbronline.com.br/index.php/bbr/article/view/91/130
http://bbronline.com.br/index.php/bbr/article/view/91/131
 

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