Análise do comportamento da estrutura a termo de taxa de juros do mercado brasileiro entre 2020 e 2022 via modelo de Black-Karasinski

Resumo

This work aims to analyze how the application of the Black-Karasinski model implemented from trinomial trees compares to the interest rates base curve of the Brazilian market. The periods used in the analysis were the monthly closings of 2020 (the start of the Covid-19 pandemic), the monthly closings of 2022 (the end of the pandemic) and dates in 2022 in which the basic interest rate in the Brazilian market was adjusted positively after the Copom meetings. The differences between the simulated yield curves and the market yield curve were smaller for moments of low interest rates (levels around 2%) and larger for moments of interest rate adjustments or high interest rates (levels between 10% and 14%). Furthermore, the differences are increasing along the forwards of the curve, so the use for products with long terms must be done with caution. Finally, regarding the length of the interest rate historical series used for calibration, only the results obtained in 2022 indicated that the calibration using shorter series produced greater adherence to the market curve, while for the rest of the periods there was no concrete indication of better adherence by using shorter or longer historical series.

Ficha do documento

Tipo

Dissertação

Ano

2023

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/34150

Temas

Economia

Palavras-chave

Modelo de Black-KarasinskiTaxas de jurosÁrvores trinomiaisMercado financeiro brasileiroBlack-Karasinski modelInterest ratesTrinomial treesBrazilian financial marketEconomiaModelos matemáticosMercado financeiro - Brasil