文章基本信息

标题：Asymmetry and Risk Premia in the Brazilian Term Structure of Interest Rates
本地全文：下载
作者：Marcelo Ganem ; Tara Keshar Nanda Baidya
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2011
卷号：9
期号：2
页码：277-301
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：The risk premium in the Brazilian term structure of interest rates is partially driven by some specific defensive behavior following past monetary decisions. Until 2008, the Brazilian Central Bank has primarily dealt with domestic and external crises by raising the short term rate to restrain capital outflows, generating a well-known asymmetry in the market’s response functions to risk aversion. Therefore, the traditional parameterization of risk based on mean and variance estimators fails to capture the market price of risk eventually assigned to higher order moments of bond returns across several maturities. In this paper we propose an arbitrage-free, discrete-time model that provides the form for a lagged endogenous regression which tests the significance and magnitude of the market price of asymmetry in the Brazilian fixed income market. The results are analyzed from a historical perspective, comparing the evolution of the price of asymmetry, the improvement of Brazil’s sovereign risk and the monetary policy conduction from 2003 to 2009.
其他摘要：The risk premium in the Brazilian term structure of interest rates is partially driven by some specific defensive behavior following past monetary decisions. Until 2008, the Brazilian Central Bank has primarily dealt with domestic and external crises by raising the short term rate to restrain capital outflows, generating a well-known asymmetry in the market’s response functions to risk aversion. Therefore, the traditional parameterization of risk based on mean and variance estimators fails to capture the market price of risk eventually assigned to higher order moments of bond returns across several maturities. In this paper we propose an arbitrage-free, discrete-time model that provides the form for a lagged endogenous regression which tests the significance and magnitude of the market price of asymmetry in the Brazilian fixed income market. The results are analyzed from a historical perspective, comparing the evolution of the price of asymmetry, the improvement of Brazil’s sovereign risk and the monetary policy conduction from 2003 to 2009.
关键词：Risk premium;Asymmetry;Term structure of interest rates;Prêmio de risco, assimetria de retornos, estrutura a termo de juros, pesquisa de mercado
其他关键词：Finance; Econometrics;Risk premium; Asymmetry; Term structure of interest rates;C35; E43; G12