Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate
In order to capture the informational effect of the Brazilian short-term interest rate (SELIC rate) by Poisson jumps, we build on the tests condu cted by Das (2002) and Johannes (2004), which show the significance of such structures for U.S. Federal Open Market Committee (FOMC) announ...
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| Format: | Article |
| Language: | English |
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FUCAPE Business School
2015-01-01
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| Series: | BBR: Brazilian Business Review |
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| Online Access: | http://www.redalyc.org/articulo.oa?id=123035864004 |
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| author | José Carlos Nogueira Cavalcante Filho Edson Daniel Lopes Gonçalves |
| author_facet | José Carlos Nogueira Cavalcante Filho Edson Daniel Lopes Gonçalves |
| author_sort | José Carlos Nogueira Cavalcante Filho |
| collection | DOAJ |
| 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 condu cted 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, w e have found evidence that a relevant amount of the short-term volatility in the fixed in come market is captured by introducing jumps on the stochastic process of the short-term r ate. 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. |
| format | Article |
| id | doaj-art-1aad586942c647ea9288e899fea03512 |
| institution | Kabale University |
| issn | 1807-734X |
| language | English |
| publishDate | 2015-01-01 |
| publisher | FUCAPE Business School |
| record_format | Article |
| series | BBR: Brazilian Business Review |
| spelling | doaj-art-1aad586942c647ea9288e899fea035122025-02-06T23:39:30ZengFUCAPE Business SchoolBBR: Brazilian Business Review1807-734X2015-01-0112180103Jump Diffusion Modelling for the Brazilian Short-Term Interest RateJosé Carlos Nogueira Cavalcante FilhoEdson Daniel Lopes GonçalvesIn order to capture the informational effect of the Brazilian short-term interest rate (SELIC rate) by Poisson jumps, we build on the tests condu cted 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, w e have found evidence that a relevant amount of the short-term volatility in the fixed in come market is captured by introducing jumps on the stochastic process of the short-term r ate. 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.http://www.redalyc.org/articulo.oa?id=123035864004stochastic processbroadcastsselic ratepoiss on jumpsfixed incomejel classification codesc13c22g14 |
| spellingShingle | José Carlos Nogueira Cavalcante Filho Edson Daniel Lopes Gonçalves Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate BBR: Brazilian Business Review stochastic process broadcasts selic rate poiss on jumps fixed income jel classification codes c13 c22 g14 |
| title | Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate |
| title_full | Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate |
| title_fullStr | Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate |
| title_full_unstemmed | Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate |
| title_short | Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate |
| title_sort | jump diffusion modelling for the brazilian short term interest rate |
| topic | stochastic process broadcasts selic rate poiss on jumps fixed income jel classification codes c13 c22 g14 |
| url | http://www.redalyc.org/articulo.oa?id=123035864004 |
| work_keys_str_mv | AT josecarlosnogueiracavalcantefilho jumpdiffusionmodellingforthebrazilianshortterminterestrate AT edsondaniellopesgoncalves jumpdiffusionmodellingforthebrazilianshortterminterestrate |