O impacto das crises financeiras na previsão da estrutura temporal das taxas de juro

: o caso da Zona Euro

Abstract

In this research we are studying the various extensions to the Nelson e Siegel (1987) model in order to analyze the models which show better results to adjust and forecast the Term Structure of Interest Rates in the Euro Area in the context of major economic and financial crisis. In particular, we show that the 4 factors model, which includes a second slope factor, is the model that best suits the interest rates of the sample, showing satisfactory results in that it captures the various ways that the yield curve assumes over time, showing encouraging results even in environments of high market instability when compared with the 2 and 3 factors models. We apply also the Nelson e Siegel (1987) model to make forecasts using autoregressive models for their parameters, such as the literature indicates, and we suggest an alternative process for the same purpose which is directly modeling the interest rates adjusted for the respective models. We conclude that the quality of forecasts is generally higher when we use the alternative method and the 4 factors model remains valid for forecasting. However, for this purpose, the 4 factors model does not disclose qualitatively distinct results compared to the 3 factors model when evaluating its ability to replicate yield curves in-sample fit. Finally, we verified that the presence of market turbulence worsens significantly forecasts of interest rates of short term but, generally, over the maturity and with increasing lags for forecasting purposes, the impact of financial crisis on quality of results tends to decrease.

Date of Award	30 Aug 2012
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Pedro Duarte Silva (Supervisor)