referências bibliogr¶aflcas - dbd.puc-rio.br filereferências bibliogr¶aflcas 90 [11] d u ffie...

Referencias Bibliograficas

[1] A . D . H A L L , H . M . A .; G R A N G E R , C . W . J .. A cointegration analysis of

treasury bill yields. R ev iew o f E c o n o m ic a n d S ta tistic s, v o lu m e 7 4 :116 –

12 6 , 19 9 2 .

[2 ] A M A T O , J . D .; L U IS I, M .. M acro factors in th e term structure of

credit sp reads. B IS W o rk in g P a p ers, 2 0 3 , M a rc o 2 0 0 6 .

[3 ] A N G , A .; P IA Z Z E S I, M .. A no-arbitrage v ector autoregressiv e

of term structure dynam ics w ith m acroeconom ic and latent

v ariables. N a tio n a l B u rea u o f E c o n o m ic R esea rc h , w o rk in g p a p er 8 3 6 3 :3 3 7 –

3 6 4 , J u lh o 2 0 0 1.

[4 ] B J O R K , T .; C H R IS T E N S E N , B . J .. Interest rate dynam ics and

consistent forw ard rate curv es. M a th em a tic a l F in a n ce, 9 :3 2 3 – 3 4 8 ,

19 9 9 .

[5 ] B L IS S , R . R .. T esting term structure estim ation m eth ods. F ed era l

R eserv e B a n k o f A tla n ta , 9 6 -12 a , W o rk in g P a p er, N o v em b ro 19 9 6 .

[6 ] B L IS S , R . R .. M ov em ents in th e term structure of interest rates.

F ed era l R eserv e B a n k o f A tla n ta E c o n o m ic R ev iew , Q u a rto S em estre 19 9 7 .

[7 ] B O N O M O , M .; L O W E N K R O N , A .. A term structure m odel for

em erging econom y bonds. M a io 2 0 0 6 .

[8 ] D A S ILV E IR A , G . B .; B E S S A D A , O .. Analise de com p onentes p rinci-

p ais de dados funcionais - um a ap licacao as estruturas a term o

de tax as de juros. T ra b a lh o s p a ra d isc u ssa o - B a n c o C en tra l d o B ra sil,

7 3 :1– 3 1, M a io 2 0 0 3 .

[9 ] D IE B O L D , F . X .; L I, C .. F orecasting th e term structure of gov ern-

m ent bond yields. J o u rn a l o f E c o n o m etric s, 13 0 (2 0 0 6 ):3 3 7 – 3 6 4 , M a io

2 0 0 5 .

[10 ] D U F F E E , G . R .. T erm p rem ia and interest rate forecasts in affi ne

m odels. J o u rn a l o f F in a n ce, V o lu m e LV II, n u m ero 1, F ev ereiro 2 0 0 2 .

DBD

PUC-Rio - Certificação Digital Nº 0621623/CA

Referencias Bibliograficas 90

[11] D U F F IE , D .; K A N , R .. A yield-factor m odel of interest rates.

M a th em a tic a l F in a n ce, v o lu m e 6 , n u m ero 4 :3 7 9 – 4 0 6 , O u tu b ro 19 9 6 .

[12 ] E . B E R N D T , B . H A L L , R . H .; H A U S M A N , J .. E stim ation and inference

in nonlinear structural m odels. A n n a ls o f S o c ia l M ea su rem en t, V o lu m e

3 :6 5 3 – 6 6 5 , 19 7 4 .

[13 ] E M A R C O S V A L L I, G . V .. M ov im entos da estrutura a term o da tax a

de juros brasileira e im unizacao. E c o n o m ia A p lic a d a , v o lu m e 5 , n u m ero

1:3 3 – 5 3 , M a rc o 2 0 0 1.

[14 ] E R IC Z IV O T , J . W .; K O O P M A N , S . J .. S tate sp ace m odeling in

m acroeconom ics and fi nance. M a io 2 0 0 3 .

[15 ] E V A N S , C . L .; M A R S H A L L , D . A .. M onetary p olicy and th e

term structure of nom inal interest rates: E v idence and th eory.

C a rn eg ie-R o c h ester C o n feren ce S eries o n P u b lic P o lic y, 4 9 :5 3 – 111.

[16 ] F A M A , E . F .; B L IS S , R . R .. T h e inform ation in long-m aturity

forw ard rates. C en ter fo r R esea rc h in S ec u rity P rices W o rk in g p a p er series,

17 0 , 19 8 7 .

[17 ] F IS H E R , M .. F orces th at sh ap e th e yield curv e. F ed era l R eserv e B a n k

o f A tla n ta E c o n o m ic R ev iew , P rim eiro S em estre 2 0 0 1.

[18 ] F R A N C IS X . D IE B O L D , C . L .; Y U E , V . Z .. G lobal yield curv e dynam ics

and interactions: A dynam ic N elson-S iegel ap p roach . J o u rn a l o f

E c o n o m etric s, 3 5 , 2 0 0 8 .

[19 ] F R A N C IS X . D IE B O L D , C . L .; Y U E , V . Z .. G lobal yield curv e dynam ics

and interactions: A dynam ic N elson-S iegel ap p roach . N a tio n a l

B u rea u o f E c o n o m ic R esea rc h , 13 5 8 8 , w o rk in g p a p er series, N o v em b ro 2 0 0 7 .

[2 0 ] F R A N C IS X . D IE B O L D , G . D . R .; A R O U B A , S . B .. T h e m acroeconom y

and th e yield curv e: A dynam ic latent factor ap p roach . J o u rn a l

o f E c o n o m etric s.

[2 1] G O N C A LV E S , R .. A crise internacional e a Am erica L atina com

referencia esp ecial ao caso do B rasil. O u tu b ro 2 0 0 8 .

[2 2 ] H U L L , J .; W H IT E , A .. P ricing interest rate deriv ativ e securities.

T h e R ev iew o f F in a n c ia l S tu d ies, v o lu m e 3 , n u m ero 4 :5 7 3 – 3 9 2 , 19 9 0 .

[2 3 ] J . C . C O X , J . E . I.; R O S S , S . A .. A th eory of th e term structure of

interest rates. E c o n o m etric a , V o lu m e 5 3 :3 8 5 – 4 0 7 , 19 8 5 .

DBD



[2 4 ] J O H N S O N , R . A .; W IC H E R N , D . W .. Ap p lied M ultiv ariate Analysis

4 th edition. P ren tice H a ll, 19 9 8 .

[2 5 ] J O O S T D R IE S S E N , B . M .; N IJ M A N , T .. C om m on factors in interna-

tional bond returns. J o u rn a l o f In tern a tio n a l M o n ey a n d F in a n ce, v o lu m e

2 2 :6 2 9 – 6 5 6 , 2 0 0 3 .

[2 6 ] K U R G M A N , P . R .. A crise de 2 0 0 8 e a econom ia da dep ressao. E d .

E lsev ier, 2 0 0 9 .

[2 7 ] L IO N E L M A R T E L L IN I, P . P .; P R IA U L E T , S .. F ix ed Incom e S ecurities.

V aluation, R isk M anagem ent and P ortfolio S trategies. E d . W iley,

2 0 0 3 .

[2 8 ] L IT T E R M A N A , R .; S C H E IN K M A N , J .. C om m on factors aff ecting bond

returns. T h e J o u rn a l o f F ix ed In c o m e, p . 5 4 – 6 1, J u n h o 19 9 1.

[2 9 ] L O N G S T A F F ; S C H W A R Z . Interest rate v olatility and th e term

structure: a tw o factor general eq uilibrium m odel. J o u rn a l o f

F in a n ce, v o lu m e X LV II:12 5 9 – 12 8 2 , 19 9 2 .

[3 0 ] L U N A , F . E .. Ap licacao da m etodologia de com p onentes p rincip ais

na analise da estrutura a term o de tax a de juros brasileira e no

calculo do v alor em risco. IP E A , tex to p a ra d isc u ssa o 114 6 , 2 0 0 6 .

[3 1] N E L S O N , C .; A .S IE G E L . P arsim onious m odeling of yield curv es.

J o u rn a l o f B u sin ess, 6 0 :4 7 3 – 4 8 9 , 19 8 7 .

[3 2 ] P E T E R H O R D A L , O . T .; V E S T IN , D .. A joint econom etric m odel of

m acroeconom ic and term structure dynam ics. J o u rn a l o f E c o n o -

m etric s, 13 1:p p . 4 0 5 – 4 4 4 , 2 0 0 6 .

[3 3 ] P O O T E R , M . D .. E x am ining th e N elson-S iegel class of term

structure m odels. T in b erg en In stitu te D isc u ssio n P a p er, V o l. 0 4 3 / 4 , 2 0 0 7 .

[3 4 ] R O B E R T L IT T E R M A N A , J . S .; K N E Z , P . J .. E x p loration into factors

ex p lanining m oney m ark et returns. T h e J o u rn a l o f F in a n ce, V o l. 9

N o . 5 :p p . 18 6 1 – 18 8 2 , D ezem b ro 19 9 4 .

[3 5 ] R O L L , R .; R O S S , S . A .. An em p irical inv estigation of th e arbitrage

p ricing th eory. J o u rn a l o f F in a n ce, 3 5 :10 7 3 – 110 3 .

[3 6 ] S A N G T A M , C .; W IN G Y U , I.. M odelling sov ereign bond yield curv es

of th e U S , J ap an and G erm any. W o rk in g P a p er H o n k K o n g M o n eta ry

A u th o rity, 0 9 :1– 17 (17 ), J u n h o 2 0 0 7 .

DBD



[3 7 ] S E U N G C H A N A H N , S . D .; P E R E Z , M . F .. E x p loring th e com m on

factors in th e term structure of credit sp reads. M a rc o 2 0 0 8 .

[3 8 ] S E U N G C H A N A H N , S . D .; P E R E Z , M . F .. E x p loring th e com m on

factors in th e term structure of credit sp reads. M a rc o 2 0 0 8 .

[3 9 ] S H O U S H A , S .. E strutura a term o da tax a de juros e dinam ica

m acroeconom ica no B rasil. R ev ista d o B N D E S , v .15 n .3 0 :3 0 3 – 3 4 5 ,

D ezem b ro 2 0 0 8 .

[4 0 ] S T A N D A R D ; P O O R S R A T IN G S D IR E C T . R atings direct. D ezem b ro

2 0 0 8 .

[4 1] S U K -J O O N G K IM , B . L .; W U , E .. D ynam ics of bond m ark et inte-

gration betw een ex isting and accession E U countries. D isc u ssio n

P a p er - In stitu te fo r In tern a tio n a l In teg ra tio n S tu d ies, D isc u ssio n P a p er 2 5 ,

M a io 2 0 0 4 .

[4 2 ] S V E N S S O N , L . E .. E stim ating and interp reting forw ard interest

rates: S w eden 1 9 9 2 - 1 9 9 4 . C en ter fo r E c o n o m ic P o lic y R esea rc h ,

D isc u ssio n P a p er 10 5 1, 19 9 4 .

[4 3 ] T O M A R N O L D , M . J . B . J . G .. A sim p lifi ed ap p roach to understand-

ing th e k alm an fi lter tech niq ue. T h e E n g in eerin g E c o n o m ist, v o l. 5 0 ,

A b ril 2 0 0 8 .

[4 4 ] V A S IC E K , O . A .. An eq uilibrium ch aracterization of th e term

structure. J o u rn a l o f F in a n c ia l E c o n o m ic s, V o lu m e 5 :17 7 – 18 8 , 19 7 7 .

[4 5 ] W E L C H , G .; B IS H O P , G .. An introduction to th e k alm an fi lter.

U n iv ersity o f N o rth C a ro lin a a t C h a p el H ill, T R 9 5 -0 4 1, A b ril 2 0 0 4 .

[4 6 ] W U , L .; Z H A N G , F . X .. A no-arbitrage analysis of econom ic deter-

m inants of th e credit sp read term structure. F in a n ce a n d E c o n o m ic s

D isc u ssio n S eries D iv isio n s o f R esea rc h a n d S ta tistic s a n d M o n eta ry A ff a irs

F ed era l R eserv e B o a rd , W a sh in g to n , D .C ., 2 0 0 5 .

[4 7 ] W U , T .. W h at m ak es th e yield curv e m ov e? F ed era l R eserv e B a n k o f

S a n F ra n c isc o (F R B S F ) E c o n o m ic L etter, 2 0 0 3 -15 , J u n h o 2 0 0 3 .

[4 8 ] Y A N G , J .. M acroeconom ic determ inants of th e term structure of

corp orate sp reads. W o rk in g P a p er - B a n k o f C a n a d a , 2 0 0 8 -2 9 , S etem b ro

2 0 0 8 .

DBD


A

Ap end ice - Analise d e Com p onentes P rincip ais

S eg u e resu m o d e a lg u m a s a n a lises d e C o m p o n en tes P rin c ip a is rea liz a d a s p o r

o u tro s a u to res p a ra d iferen tes a m o stra s d e p a ıses. T a is resu lta d o s fo ra m ex tra ıd o s

d o liv ro “ F ix ed In c o m e S ec u rities - V a lu a tio n , R isk M a n a g em en t a n d P o rtfo lio

S tra teg ies” , L io n el M a rtellin i, P h ilip p e P ria u let a n d S tep h a n e P ria u let; E d . W iley ;

2 0 0 3 .

Resultados com Analises ACP

Autores Paıses (p erıodo) Interv alo F at % de ex p licacao

L S (19 9 1) E U A(19 8 4 - 19 8 8 ) 6M -18 Y 3 8 8 ,04 / 8 ,38 / 1,9 7

K M (19 9 2) F ranca (19 8 9 - 19 9 0) 1Y -25Y 2 9 3,7 / 6,1

D Z (19 9 4 ) Italy (19 8 8 - 19 9 2) 6M -7 Y 3 9 3,9 1/ 5,4 9 / 0,4 2

K R (19 9 4 ) Alemanh a/ S uica/ E U A(19 9 0-19 9 4 ) 3M -10Y 3 T otal: 9 7 / 9 8 / 9 8

B C (19 9 6) E U A (19 8 5 - 19 9 1) 1M -20Y 3 8 0,9 3/ 11,8 5/ 4 ,36

B Z (19 9 6) Alemanh a/ S uica (19 8 8 - 19 9 6) 1M -10Y 3 7 1/ 18 / 04 e 7 5/ 16/ 3

G T (19 9 7 ) J PM org an Risk M etrics 30/ 09 / 9 6 3M -30Y 3 9 2,8 / 4 ,8 / 1,27

L (2000) Alemanh a (19 8 7 - 19 9 5) 1Y -9 Y 5 50,6/ 17 ,3/ 13,5/ 8 ,8 / 5,8U S A (19 8 4 - 19 9 5) 56,5/ 17 ,4 / 9 ,8 6/ 8 ,12/ 4 ,3

Reino U nido (19 8 7 - 19 9 5) 63,5/ 6,3/ 7 ,5/ 8 ,1/ 5,3J ap ao (19 8 7 - 19 9 5) 4 2,8 / 25,5/ 17 ,1/ 6/ 4 ,9

M P (2000) F ranca (19 9 5 - 19 9 8 ) 1M -10Y 3 66,64 / 20,52/ 6,9 6B elg ica 62/ 27 / 6F ranca 62/ 21/ 8

L PP (2003) Alemanh a (19 9 8 - 2000) 1M -30Y 3 61/ 23/ 6Italia 59 / 24 / 7

Reino U nido 60/ 24 / 9

T ab ela A.1: ACP p ara diferentes g rup os de p aıses.

DBD


B

Ap end ice - F iltro d e K alm an

U m a v ez feita a esc o lh a d o m o d elo resp o n sa v el p ela c o n stru c a o d a s estru tu ra s

a term o , e n ecessa rio u m m o d elo q u e d esc rev a a ev o lu c a o d a estru tu ra n o tem p o .

U tiliz a rem o s ta m b em o a rc a b o u c o d a s eq u a c o es d e esp a c o d e esta d o p a ra d esc rev er

essa ev o lu c a o . O m o d elo e d esc rito p o r d o is g ru p o s b a sic o s d e eq u a c o es1: eq u a c o es

d e m ed id a e eq u a c o es d e tra n sic a o . A eq u a c a o d e m ed id a rela c io n a v a ria v eis n a o

o b serv a v eis (Xt) c o m o b serv a v eis (Yt). D e fo rm a g era l a s eq u a c o es d e m ed id a

esta o n o fo rm a to :

Yt = at ∗ Xt + bt + εt (B -1)

P o d em o s sim p lifi c a r a eq u a c a o c o n sid era n d o bt ig u a l a zero e at c o n sta n te

a o lo n g o d o tem p o . P a ra εt c o n sid era rem o s m ed ia zero e v a ria n c ia rt. A eq u a c a o

B -1 resu m e-se a :

Yt = a ∗ Xt + εt (B -2)

A eq u a c a o d e tra n sic a o , p o r su a v ez , se b a seia em u m m o d elo q u e p erm ite

q u e a v a ria v el n a o o b serv a v el m u d e n o tem p o . S u a estru tu ra e d a d a p o r:

Xt+1 = ct ∗ Xt + dt + θt (B -3 )

A ssu m in d o a s m esm a s sim p lifi c a c o es, c o m m ed ia zero e v a ria n c ia st p a ra θt,

tem o s:

Xt+1 = c ∗ Xt + θt (B -4 )

A s eq u a c o es B -2 e B -4 c o m p o e u m sistem a c o n h ec id o p o r rep resen ta c a o d e

esp a c o d e esta d o . O F iltro d e K a lm a n e u m a lg o ritm o q u e itera tiv a m en te a tu a liz a

a p ro jec a o lin ea r d esse sistem a . P a ra o d esen v o lv im en to d o a lg o ritm o p o d em o s

c o m ec a r in serin d o u m v a lo r in ic ia l X0 n a eq u a c a o B -4 p a ra o v a lo r d e Xt, o n d e

X0 tem m ed ia µ0 e d esv io p a d ra o σ0. Im p o rta n te ressa lta r q u e εt, θt e X0 sa o

d esc o rrela ta d o s. T em o s, p o rta n to , a eq u a c a o B -4 ig u a l a :

X1P = c ∗ X0 + θ0 (B -5 )

1U tilizaremos a descricao encontrada na referencia “A Simplified Approach to Under-

standing the Kalman Filter Technique” , (de T om Arnold, M ark J . B ertus e J onath an G od-b ey ) p ara esclarecer o funcionamento do F iltro de K alman.

DBD


A p end ice B. A p end ice - F iltro d e K alm an 95

o n d e X1P c o rresp o n d e a p rev isa o d e X1. O v a lo r d e X1P d ev e ser in serid o

n a eq u a c a o B -2 p a ra c a lc u lo d e u m v a lo r p rev isto d e Y1 ig u a l a Y1P ,

Y1P = a ∗ X1P + ε1 = a ∗ (c ∗ X0 + θ0) + ε1 (B -6 )

C o m a o c o rren c ia d e Y1 p o d e-se m ed ir o erro Y1E d a d o p o r:

Y1E = Y1 − Y1P (B -7 )

O v a lo r d o erro p o d e ser in c o rp o ra d o a p rev isa o d e X1, g era n d o u m a p rev isa o

a ju sta d a , X1Pa j :

X1Pa j = X1P + k1 ∗ Y1E = X1P [1 − a ∗ k1] + k1 ∗ Y1 − k1 ∗ ε1 (B -8 )

o n d e k1 c o rresp o n d e a o g a n h o d e K a lm a n .

O g a n h o d e K a lm a n e d eterm in a d o m in im iz a n d o a v a ria n c ia d e X1Pa j , c o m

rela c a o a k1. U tiliz a n d o p1 c o m o a v a ria n c ia d e X1P , a v a ria n c ia d e X1Pa j e d a d a

p o r:

V ar(X1Pa j ) = p1 ∗ [1 − a ∗ k1]2 + k2

1 ∗ r1 (B -9)

M in im iz a n d o a v a ria n c ia tem o s:

∂ V ar(X1Pa j )

∂ k1

= 0 (B -10)

k1 =p1 ∗ m

p1 ∗ a2 + r1

=C o v (X1P ,Y1P )

V ar(Y1P )(B -11)

P ela eq u a c a o B -11 vem o s q u e o g a n h o d e K a lm a n e eq u iv a len te a o c o efi c ien te

β d e u m a reg ressa o lin ea r c o m X1P sen d o a v a ria v el d ep en d en te e Y1P sen d o a

v a ria v el in d ep en d en te. N a o n ecessa ria m en te ex istem d a d o s su fi c ien tes p a ra rea liz a r

essa reg ressa o , m a s a ssim c o m o o c o efi c ien te β e u sa d o p a ra red u zir o erro d a

reg ressa o , o m esm o o c o rre p a ra o g a n h o d e K a lm a n , u tiliz a d o p a ra red u zir a

v a ria n c ia d a p rev isa o a ju sta d a d e X1. O p ro x im o p a sso se d a p ela su b stitu ic a o

d e X1Pa j n a eq u a c a o B -4 . X1Pa j e esc o lh id o em lu g a r a X1P p o rq u e p o ssu i u m a

m en o r v a ria n c ia . O p ro cesso e en ta o re-in ic ia d o p a ra o tem p o t = 2.

O F iltro d e K a lm a n g era c o m o resu lta d o estim a tiv a s p a ra a v a ria v el n a o

o b serv a v el XtP a j . A v a ria v el o b serv a v el, p o r su a v ez , p o ssu i serie d e v a lo res e

d istrib u ic a o b a sea d a s n o v a lo r p rev isto YtP . O q u e o F iltro d e K a lm a n n a o p o d e

d eterm in a r sa o o s p a ra m etro s n a o c o n h ec id o s d o m o d elo , n a s eq u a c o es d e m ed id a

e tra n sic a o . S en d o eles εt e c, e ta m b em o θt, resp ec tiv a m en te. E x iste, p o rta n to ,

a n ecessid a d e d e estim a r o s p a ra m etro s e, u m a v ez feito isso , p erm itir q u e o

F iltro d e K a lm a n g ere o s resu lta d o s p a ra a v a ria v el n a o o b serv a v el d e in teresse.

S e a ssu m irm o s q u e a d istrib u ic a o p a ra c a d a YtP e seria lm en te in d ep en d en te e

d istrib u id o s n o rm a lm en te, a fu n c a o c o n ju n ta d e v ero ssim ilh a n c a e d a d a p o r:

DBD


A p end ice B. A p end ice - F iltro d e K alm an 96

T∏

t= 1

{[ 1√

2 ∗ π ∗ V ar[YtP ]

]T

∗ e−

sumTt=1(Yt−E[YtP ])2

2∗V a r [YtP ]

}

(B -12)

A id eia p o r tra s d a s fu n c o es d e v ero ssim ilh a n c a e q u e a s v a ria v eis o b serv a v eis

v em d e u m a d istrib u ic a o c o n ju n ta n o rm a l. C o n seq u en tem en te o s p a ra m etro s a

serem estim a d o s p ela d istrib u ic a o sa o esc o lh id o s d e fo rm a a m a x im iz a r o v a lo r

d a fu n c a o d e v ero ssim ilh a n c a , g era n d o a m a io r p ro b a b ilid a d e p a ra q u e a d a ta

o b serv a d a rea lm en te o c o rra . P a ra fa c ilita r o c a lc u lo e u tiliz a d o o lo g a ritm o n a tu ra l

d a fu n c a o . A d eriv a d a p a rc ia l d o lo g d a fu n c a o d e v ero ssim ilh a n c a c o m rela c a o

a c a d a p a ra m etro q u e se d eseja estim a r e ig u a la d a a zero , c o m o o b jetiv o d e

m a x im iz a r o lo g d a fu n c a o .

A p o s o g ru p o d e p a ra m etro s ser estim a d o o a lg o ritm o d o F iltro d e K a lm a n

e a p lic a d o n o v a m en te, p ro d u z in d o n o v a s series d e YtP e XtP a j c o m resp ec tiv a s

d istrib u ic o es. A fu n c a o d e v ero ssim ilh a n c a e n o v a m en te a p lic a d a , p ro d u in d o n o v o s

p a ra m etro s, en tra n d o n o v a m en te n o F ltro d e K a lm a n . E sse p ro cesso itera tiv o

c o n tin u a a te q u e n a o se a lc a n ce m a is u m a u m en to sig n ifi c a tiv a n o lo g d a fu n c a o

d e v ero ssim ilh a n c a , v er B ro c k w ell e D a v is (2 0 0 2 ).

B.1

M etod os d e O tim izacao d o E -V iew s

O s m eto d o s d e o tim iz a c a o em p reg a d o s p elo E -V iew s se b a seia m n a s p rim eira s

e seg u n d a s d eriv a d a s d a fu n c a o lo g d e m a x im a v ero ssim ilh a n c a c o m rela c a o a o s

v a lo res d o s p a ra m etro s a c a d a itera c a o , c h a m a d a s g ra d ien te o u H essia n a (a m a triz

d a seg u n d a d eriv a d a ) resp ec tiv a m en te. O a lg o ritm o d e o tim iz a c a o d esen v o lv id o

p o r B ern d t, H a ll, H a ll e H a u sm a n (19 7 4 ), c o n h ec id o p o r B H H H , a p lic a so m en te

a p rim eira d eriv a d a (c a lc u la d a n u m eric a m en te e n a o a n a litic a m en te) e c a lc u la

a p ro x im a c o es p a ra a seg u n d a d eriv a d a . N a o ten d o q u e g era r a seg u n d a d eriv a d a

a c a d a itera c a o , e a c a d a p a sso d o a lg o ritm o , a u m en ta a ra p id ez c o m p u ta c io n a l.

A a p ro x im a c a o , en treta n to , p o d e ser “ p o b re” q u a n d o o p erc u rso a te en c o n tra r

o v a lo r m a x im o d a fu n c a o e m a io r; n ecessita n d o u m m a io r n u m ero d e itera c o es

p a ra a tin g ir o p o n to o tim o . O m eto d o M a rq u a rd t e u m a m o d ifi c a c a o d e B H H H

(a m b o s v a ria c o es d o m eto d o d e G a u ss-N ew to n ), in c o rp o ra n d o u m a “ c o rrec a o ”

c o m o o b jetiv o d e a lc a n c a r o p o n to o tim o n a s estim a tiv a s d o s c o efi c ien tes a in d a

d e fo rm a m a is ra p id a . N esse tra b a lh o p a ra estim a rm o s o F iltro d e K a lm a n so b re

u m m a io r n u m ero d e p a ra m etro s, sec a o 4 .4 .2 , u tiliz a m o s o m eto d o B H H H a o

in v es d o M a rq u a rd t. N este u ltim o fo ra m en c o n tra d o s p ro b lem a s d e c o n v erg en c ia ,

p ro v a v elm en te d ev id o a o o b jetiv o d o m eto d o d e a lc a n c a r o p o n to o tim o d e fo rm a

m a is ra p id a .

DBD


C

Ap end ice - T este d e Raız U nitaria

C.1

T este d e Raız U nitaria: S overeign Bond s

E U A

S eries t ob s t(1% ) t(5% ) t(10% ) Confi g . V ar. E x og enas

E U A 3M −0, 68 1 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

E U A 6M −0, 503 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

E U A 1Y −0, 639 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

E U A 2Y −0, 7 9 3 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

E U A 3Y −1, 106 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

E U A 4 Y −1, 163 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

E U A 5Y −1, 34 5 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

E U A 7 Y −1, 9 8 5 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear








T ab ela C.1: T estes de Raız U nitaria - E U A.

DBD


A p end ice C . A p end ice - T este d e Raız U nitaria 98

B rasil


B RA 3M −2, 7 19 −3, 4 4 2 −2, 8 67 −2, 57 0 constante

B RA 6M −2, 657 −3, 4 4 2 −2, 8 67 −2, 57 0 constante

B RA 1Y −2, 64 7 −3, 4 4 2 −2, 8 67 −2, 57 0 constante

B RA 2Y −2, 64 8 −3, 4 4 2 −2, 8 67 −2, 57 0 constante

B RA 3Y −3, 024 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

B RA 4 Y −3, 24 5 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear


B RA 7 Y −3, 222 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

B RA 8 Y −2, 8 8 0 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

B RA 9 Y −3, 011 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear


B RA 15Y −2, 9 7 9 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear


B RA 25Y −3, 29 2 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

B RA 30Y −2, 68 3 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

T ab ela C.2: T estes de Raız U nitaria - B rasil.

C.2

T este d e Raız U nitaria: Corp orate Bond s

DBD


A p end ice C . A p end ice - T este d e Raız U nitaria 99

IN D AAA


IN D AAA 3M −0, 9 7 6 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

IN D AAA 6M −0, 9 9 2 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

IN D AAA 1Y −0, 8 9 5 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

IN D AAA 2Y −1, 059 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear


IN D AAA 4 Y −1, 4 4 5 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear


IN D AAA 7 Y −1, 8 57 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

IN D AAA 8 Y −2, 118 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

IN D AAA 9 Y −2, 205 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear



IN D AAA 20Y −3, 4 24 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

T ab ela C.3: T estes de Raız U nitaria - IN D AAA.

IN D B −


IN D B − 3M −0, 54 1 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

IN D B − 6M −0, 205 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

IN D B − 1Y 0, 024 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear



IN D B − 4 Y 0, 327 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

IN D B − 5Y 0, 27 0 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

IN D B − 7 Y −0, 201 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

IN D B − 8 Y 0, 08 6 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

IN D B − 9 Y 0, 030 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear

IN D B − 10Y −0, 002 −3, 9 7 5 −3, 4 18 −3, 131 constante e tend. linear




T ab ela C.4 : T estes de Raız U nitaria - IN D B -.

DBD


D

Ap end ice - Constru cao d e Dad os

D.1

Constru cao d e Dad os: S overeign Bond s

.00

.02

.04

.06

9 8 9 9 00 01 02 03 04 05 06 07 08

E U A 3 M

E U A 6 M

E U A 1 A

E U A 2 A

E U A 3 A

E U A 4 A

E U A 5 A

E U A 7 A

E U A 8 A

E U A 9 A

E U A 1 0A

E U A 1 5 A

E U A 2 0A

E U A 2 5 A

E U A 3 0A

F ig ura D .1: Y ields dos E U A. Ab cissa y rep resenta as tax as e x o temp o.

DBD


A p end ice D . A p end ice - C onstru cao d e D ad os 101

.01

.02

.03

.04

.05

.06

.07

9 8 9 9 00 01 02 03 04 05 06 07 08

A L M 3 M

A L M 6 M

A L M 1A

A L M 2 A

A L M 3 A

A L M 4 A

A L M 5 A

A L M 7 A

A L M 8 A

A L M 9 A

A L M 10A

A L M 15 A

A L M 2 0A

A L M 2 5 A

A L M 3 0A

F ig ura D .2: Y ields da Alemanh a. Ab cissa y rep resenta as tax as e x o temp o.

.0

.1

.2

.3

9 8 9 9 00 01 02 03 04 05 06 07 08

B R A 3 M

B R A 6 M

B R A 1A

B R A 2 A

B R A 3 A

B R A 4 A

B R A 5 A

B R A 7 A

B R A 8 A

B R A 9 A

B R A 10A

B R A 15 A

B R A 2 0A

B R A 2 5 A

B R A 3 0A

F ig ura D .3: Y ields do B rasil. Ab cissa y rep resenta as tax as e x o temp o.

DBD



.00

.05

.1 0

.1 5

9 8 9 9 00 01 02 03 04 05 06 07 08

M E X 3 M

M E X 6 M

M E X 1 A

M E X 2 A

M E X 3 A

M E X 4 A

M E X 5 A

M E X 7 A

M E X 8 A

M E X 9 A

M E X 1 0A

M E X 1 5 A

M E X 2 0A

M E X 2 5 A

M E X 3 0A

F ig ura D .4 : Y ields do M ex ico. Ab cissa y rep resenta as tax as e x o temp o.

.00

.05

.1 0

.1 5

9 8 9 9 00 01 02 03 04 05 06 07 08

C O L 3 M

C O L 6 M

C O L 1 A

C O L 2 A

C O L 3 A

C O L 4 A

C O L 5 A

C O L 7 A

C O L 8 A

C O L 9 A

C O L 1 0A

C O L 1 5 A

C O L 2 0A

C O L 2 5 A

C O L 3 0A

F ig ura D .5: Y ields da Colomb ia. Ab cissa y rep resenta as tax as e x o temp o.

DBD



E stados U nidos

M at (meses) M E D D P M IN M AX ρ(0, 2) ρ(1) ρ(3) ρ(6) ρ(12)

3 3,29 1 1,7 06 0,09 3 6,000 0,9 8 8 0,9 39 0,8 56 0,7 27 0,505

6 3,39 5 1,7 23 0,207 6,08 7 0,9 8 8 0,9 4 7 0,8 67 0,7 39 0,508

12 3,521 1,64 7 0,4 16 6,354 0,9 8 8 0,9 4 5 0,8 65 0,7 38 0,525

24 3,7 36 1,4 61 0,67 4 6,4 8 7 0,9 8 5 0,9 29 0,8 32 0,69 4 0,4 9 8

36 3,9 4 0 1,302 0,9 64 6,553 0,9 8 2 0,9 13 0,8 03 0,651 0,4 68

4 8 4 ,113 1,161 1,120 6,58 4 0,9 7 7 0,9 00 0,7 8 7 0,638 0,4 58

60 4 ,253 1,058 1,361 6,613 0,9 7 5 0,8 9 6 0,7 7 6 0,614 0,4 32

8 4 4 ,526 0,8 8 1 2,365 6,609 0,9 7 7 0,9 00 0,7 7 2 0,59 8 0,4 16

9 6 4 ,632 0,8 14 2,67 5 6,616 0,9 7 7 0,9 02 0,7 7 2 0,59 5 0,4 02

108 4 ,7 08 0,7 7 9 2,7 21 6,652 0,9 7 5 0,9 00 0,7 7 4 0,603 0,4 15

120 4 ,8 36 0,7 20 2,8 66 6,68 9 0,9 7 1 0,8 8 8 0,7 62 0,6 0,4 02

18 0 5,112 0,620 3,19 2 6,7 19 0,9 65 0,8 7 0 0,7 4 1 0,58 4 0,39 5

24 0 5,17 9 0,59 6 3,059 6,7 04 0,9 58 0,8 55 0,7 28 0,58 1 0,4 02

300 5,14 6 0,59 0 2,9 7 3 6,626 0,9 55 0,8 50 0,7 22 0,57 8 0,4 09

360 5,04 8 0,610 2,7 13 6,57 5 0,9 53 0,8 4 1 0,7 16 0,57 6 0,4 14

T ab ela D .1: E statısticas das series de tax as dos E U A, p ara maturidades e correlacoesmedidas em meses.

DBD



Alemanh a


3 3,124 0,8 63 1,59 1 4 ,9 30 0,9 8 9 0,9 38 0,8 7 2 0,7 11 0,333

6 3,17 7 0,8 7 0 1,7 58 4 ,9 9 9 0,9 8 9 0,9 39 0,8 66 0,7 04 0,34 0

12 3,263 0,8 59 1,8 32 5,067 0,9 9 0,9 38 0,8 4 9 0,69 0 0,34 9

24 3,39 3 0,7 9 2 1,9 29 5,14 9 0,9 8 6 0,9 21 0,8 03 0,639 0,333

36 3,57 2 0,7 4 5 2,162 5,17 2 0,9 8 5 0,9 15 0,7 9 1 0,619 0,332

4 8 3,7 29 0,69 6 2,360 5,19 3 0,9 8 4 0,9 28 0,7 7 9 0,602 0,325

60 3,8 23 0,657 2,511 5,18 3 0,9 8 2 0,9 00 0,7 62 0,57 7 0,313

8 4 4 ,060 0,611 2,7 68 5,37 5 0,9 8 1 0,9 05 0,7 8 1 0,610 0,37 0

9 6 4 ,14 7 0,59 8 2,8 67 5,4 05 0,9 8 2 0,9 09 0,7 9 2 0,631 0,4 10

108 4 ,19 0 0,57 4 2,9 67 5,4 00 0,9 8 0 0,9 05 0,7 8 6 0,625 0,4 02

120 4 ,218 0,558 3,035 5,4 4 9 0,9 8 0 0,9 03 0,7 7 8 0,607 0,369

18 0 4 ,4 9 8 0,522 3,336 5,58 9 0,9 8 4 0,9 21 0,8 16 0,665 0,4 69

24 0 4 ,68 9 0,57 9 3,4 4 7 5,8 9 5 0,9 8 7 0,9 39 0,8 65 0,7 54 0,58 8

300 4 ,7 52 0,59 6 3,505 6,059 0,9 8 6 0,9 34 0,8 62 0,7 58 0,59 4

360 4 ,69 8 0,57 7 3,361 5,9 68 0,9 8 1 0,9 20 0,8 4 3 0,7 39 0,58 2

T ab ela D .2: E statısticas das series de tax as da Alemanh a, p ara maturidades ecorrelacoes medidas em meses.

B rasil


3 6,24 1 3,7 7 2 1,015 28 ,4 4 0 0,9 7 0 0,8 4 0 0,64 0 0,34 0 0,08 0

6 6,4 4 6 3,8 18 1,09 7 28 ,7 22 0,9 7 0 0,8 50 0,650 0,360 0,08 0

12 6,7 56 3,8 56 1,8 13 29 ,528 0,9 8 0 0,8 50 0,660 0,360 0,120

24 7 ,531 3,7 57 3,166 29 ,64 3 0,9 8 0 0,8 50 0,650 0,37 0 0,19 0

36 8 ,4 50 3,9 23 3,68 6 27 ,8 37 0,9 8 0 0,8 8 0 0,7 00 0,4 7 0 0,28 0

4 8 9 ,114 4 ,051 4 ,08 3 25,8 11 0,9 9 0 0,9 00 0,7 4 0 0,500 0,29 0

60 9 ,4 9 6 4 ,016 4 ,38 5 26,14 9 0,9 9 0 0,9 10 0,7 50 0,520 0,310

8 4 9 ,8 56 3,9 19 4 ,8 36 25,319 0,9 9 0 0,9 20 0,7 7 0 0,550 0,330

9 6 10,08 7 3,9 05 5,08 0 25,4 58 0,9 9 0 0,9 30 0,7 8 0 0,560 0,360

108 10,258 3,8 7 2 5,24 5 24 ,604 0,9 9 0 0,9 4 0 0,7 9 0 0,58 0 0,4 00

120 10,332 3,8 55 5,363 24 ,9 7 6 0,9 9 0 0,9 30 0,7 9 0 0,600 0,4 10

18 0 10,7 9 8 3,8 02 5,67 4 25,202 0,9 9 0 0,9 4 0 0,8 10 0,610 0,4 20

24 0 10,59 0 3,527 5,8 00 22,4 8 9 0,9 9 0 0,9 4 0 0,8 10 0,630 0,4 4 0

300 10,68 5 3,4 20 5,8 34 22,168 0,9 9 0 0,9 4 0 0,8 10 0,620 0,4 10

360 10,667 3,7 12 5,67 3 25,18 7 0,9 9 0 0,9 4 0 0,8 10 0,620 0,4 30

T ab ela D .3: E statısticas das series de tax as do B rasil, p ara maturidades e correlacoesmedidas em meses.

DBD



M ex ico

M at(meses) M E D D P M IN M AX ρ(0, 2) ρ(1) ρ(3) ρ(6) ρ(12)

3 4 ,14 3 1,9 56 1,108 13,122 0,9 8 9 0,9 11 0,8 21 0,7 04 0,505

6 4 ,29 7 1,9 7 9 1,14 7 13,09 2 0,9 9 0,9 17 0,8 37 0,7 14 0,518

12 4 ,538 1,9 58 1,169 13,058 0,9 9 1 0,9 25 0,8 60 0,7 32 0,54

24 5,015 1,9 01 1,18 1 13,020 0,9 9 1 0,9 28 0,8 7 2 0,7 4 6 0,566

36 5,522 1,7 9 8 2,24 0 12,9 67 0,9 9 1 0,9 31 0,8 7 2 0,7 51 0,57 3

4 8 5,9 32 1,7 58 3,114 12,8 35 0,9 9 2 0,9 38 0,8 8 8 0,7 8 6 0,62

60 6,27 6 1,7 53 3,539 12,59 4 0,9 9 3 0,9 4 4 0,8 9 1 0,7 8 6 0,623

8 4 6,7 10 1,68 2 4 ,54 9 12,08 5 0,9 9 3 0,9 4 9 0,8 9 6 0,7 9 8 0,635

9 6 6,8 10 1,67 4 4 ,68 5 11,9 7 3 0,9 9 3 0,9 51 0,9 02 0,8 08 0,637

108 6,8 7 6 1,64 9 4 ,7 69 11,9 7 3 0,9 9 3 0,9 50 0,9 00 0,8 05 0,635

120 6,9 63 1,64 9 4 ,7 8 4 12,062 0,9 9 3 0,9 51 0,8 9 7 0,7 9 9 0,635

18 0 7 ,4 7 5 1,67 4 5,153 12,8 7 4 0,9 9 3 0,9 53 0,8 9 8 0,7 9 5 0,611

24 0 7 ,635 1,519 5,622 12,9 53 0,9 9 2 0,9 4 8 0,8 9 2 0,7 8 2 0,58

300 7 ,7 33 1,4 9 5 5,58 3 12,4 8 5 0,9 9 2 0,9 4 9 0,8 8 8 0,7 7 6 0,565

360 7 ,58 0 1,4 65 5,606 12,27 2 0,9 9 2 0,9 4 8 0,8 9 4 0,7 8 8 0,58 7

T ab ela D .4 : E statısticas das series de tax as do M ex ico, p ara maturidades e cor-relacoes medidas em meses.

Colomb ia

M at(meses) M E D D P M IN M AX ρ(0, 2) ρ(1) ρ(3) ρ(6) ρ(12)

3 4 ,9 8 0 1,9 63 1,238 12,8 21 0,9 7 7 0,8 52 0,7 17 0,64 2 0,4 7 4

6 5,14 5 1,9 66 1,366 12,9 01 0,9 7 9 0,8 62 0,7 27 0,627 0,4 58

12 5,39 3 2,037 1,601 12,9 9 7 0,9 8 6 0,8 9 0 0,7 54 0,608 0,4 4 0

24 6,154 2,210 2,54 1 13,121 0,9 9 0 0,9 09 0,7 68 0,616 0,4 14

36 7 ,126 2,38 2 3,7 12 13,7 59 0,9 9 0 0,9 20 0,7 9 4 0,67 3 0,4 62

4 8 7 ,69 6 2,4 03 4 ,4 09 14 ,34 4 0,9 9 1 0,9 30 0,8 08 0,69 5 0,4 8 9

60 8 ,09 2 2,338 4 ,67 1 14 ,19 0 0,9 9 2 0,9 35 0,8 17 0,68 9 0,4 65

8 4 8 ,59 9 2,29 4 5,051 14 ,231 0,9 9 2 0,9 34 0,8 19 0,68 7 0,4 7 1

9 6 8 ,7 4 8 2,307 5,24 2 14 ,223 0,9 9 2 0,9 38 0,8 30 0,7 09 0,501

108 8 ,8 7 2 2,28 5 5,368 14 ,4 7 5 0,9 9 2 0,9 38 0,8 32 0,7 11 0,517

120 8 ,9 65 2,233 5,4 37 14 ,654 0,9 9 2 0,9 39 0,8 36 0,7 12 0,508

18 0 9 ,4 8 1 2,34 9 5,9 4 3 14 ,622 0,9 9 4 0,9 4 9 0,8 55 0,7 4 2 0,54 2

24 0 9 ,4 8 8 2,320 6,08 7 14 ,602 0,9 9 4 0,9 35 0,8 51 0,7 4 5 0,561

300 9 ,4 52 2,14 8 6,14 6 14 ,09 8 0,9 9 3 0,9 4 5 0,8 53 0,7 4 0 0,531

360 9 ,4 19 2,050 6,14 4 13,8 4 7 0,9 9 2 0,9 4 2 0,8 4 7 0,7 39 0,527

T ab ela D .5: E statısticas das series de tax as da Colomb ia, p ara maturidades ecorrelacoes medidas em meses.

DBD



D.2

Constru cao d e Dad os: Corp orate Bond s

.00

.02

.04

.06

.08

.1 0

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D A A A 3 M

IN D A A A 6M

IN D A A A 1 A

IN D A A A 2 A

IN D A A A 3 A

IN D A A A 4 A

IN D A A A 5 A

IN D A A A 7 A

IN D A A A 8 A

IN D A A A 9 A

IN D A A A 1 0A

IN D A A A 1 5 A

IN D A A A 2 0A

Figura D.6: Yields Industrial AAA. Abcissa y representa as taxas e x o tempo.

DBD


Apendice D. Apendice - Construcao de Dados 107

.00

.02

.04

.06

.08

.1 0

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D A A 3 M

IN D A A 6 M

IN D A A 1 A

IN D A A 2 A

IN D A A 3 A

IN D A A 4 A

IN D A A 5 A

IN D A A 7 A

IN D A A 8 A

IN D A A 9 A

IN D A A 1 0A

IN D A A 1 5 A

IN D A A 2 0A

IN D A A 3 0A

Figura D.7 : Yields Industrial AA. Abcissa y representa as taxas e x o tempo.

.00

.02

.04

.06

.08

.1 0

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D A + 3 M

IN D A + 6 M

IN D A + 1 A

IN D A + 2 A

IN D A + 3 A

IN D A + 4 A

IN D A + 5 A

IN D A + 7 A

IN D A + 8 A

IN D A + 9 A

IN D A + 1 0A

IN D A + 1 5 A

IN D A + 2 0A

IN D A + 3 0A

Figura D.8 : Yields Industrial A+ . Abcissa y representa as taxas e x o tempo.

DBD



.00

.02

.04

.06

.08

.1 0

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D A 3 M

IN D A 6 M

IN D A 1 A

IN D A 2 A

IN D A 3 A

IN D A 4 A

IN D A 5 A

IN D A 7 A

IN D A 8 A

IN D A 9 A

IN D A 1 0A

IN D A 1 5 A

IN D A 2 0A

IN D A 3 0A

Figura D.9 : Yields Industrial A. Abcissa y representa as taxas e x o tempo.

.00

.02

.04

.06

.08

.1 0

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D A - 3 M

IN D A - 6 M

IN D A - 1 A

IN D A - 2 A

IN D A - 3 A

IN D A - 4 A

IN D A - 5 A

IN D A - 7 A

IN D A - 8 A

IN D A - 9 A

IN D A - 1 0A

IN D A - 1 5 A

IN D A - 2 0A

IN D A - 3 0A

Figura D.1 0 : Yields Industrial A−. Abcissa y representa as taxas e x o tempo.

DBD



.00

.02

.04

.06

.08

.1 0

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D B B B + 3 M

IN D B B B + 6 M

IN D B B B + 1 A

IN D B B B + 2 A

IN D B B B + 3 A

IN D B B B + 4 A

IN D B B B + 5 A

IN D B B B + 7 A

IN D B B B + 8 A

IN D B B B + 9 A

IN D B B B + 1 0A

IN D B B B + 1 5 A

IN D B B B + 2 0A

IN D B B B + 3 0A

Figura D.1 1 : Yields Industrial B B B + . Abcissa y representa as taxas e x o tempo.

DBD



.00

.02

.04

.06

.08

.1 0

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D B B B 3 M

IN D B B B 6 M

IN D B B B 1 A

IN D B B B 2 A

IN D B B B 3 A

IN D B B B 4 A

IN D B B B 5 A

IN D B B B 7 A

IN D B B B 8 A

IN D B B B 9 A

IN D B B B 1 0A

IN D B B B 1 5 A

IN D B B B 2 0A

IN D B B B 3 0A

Figura D.1 2 : Yields Industrial B B B . Abcissa y representa as taxas e x o tempo.

.00

.02

.04

.06

.08

.1 0

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D B B B - 3 M

IN D B B B - 6 M

IN D B B B - 1 A

IN D B B B - 2 A

IN D B B B - 3 A

IN D B B B - 4 A

IN D B B B - 5 A

IN D B B B - 7 A

IN D B B B - 8 A

IN D B B B - 9 A

IN D B B B - 1 0A

IN D B B B - 1 5 A

IN D B B B - 2 0A

IN D B B B - 3 0A

Figura D.1 3 : Yields Industrial B B B −. Abcissa y representa as taxas e x o tempo.

DBD



.00

.04

.08

.1 2

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D B B + 3 M

IN D B B + 6 M

IN D B B + 1 A

IN D B B + 2 A

IN D B B + 3 A

IN D B B + 4 A

IN D B B + 5 A

IN D B B + 7 A

IN D B B + 8 A

IN D B B + 9 A

IN D B B + 1 0A

IN D B B + 1 5 A

IN D B B + 2 0A

IN D B B + 3 0A

Figura D.1 4 : Yields Industrial B B + . Abcissa y representa as taxas e x o tempo.

.00

.04

.08

.1 2

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D B B 3 M

IN D B B 6 M

IN D B B 1 A

IN D B B 2 A

IN D B B 3 A

IN D B B 4 A

IN D B B 5 A

IN D B B 7 A

IN D B B 8 A

IN D B B 9 A

IN D B B 1 0A

IN D B B 1 5 A

IN D B B 2 0A

IN D B B 3 0A

Figura D.1 5 : Yields Industrial B B . Abcissa y representa as taxas e x o tempo.

DBD



.00

.05

.1 0

.1 5

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D B B - 3 M

IN D B B - 6 M

IN D B B - 1 A

IN D B B - 2 A

IN D B B - 3 A

IN D B B - 4 A

IN D B B - 5 A

IN D B B - 7 A

IN D B B - 8 A

IN D B B - 9 A

IN D B B - 1 0A

IN D B B - 1 5 A

IN D B B - 2 0A

Figura D.1 6: Yields Industrial B B −. Abcissa y representa as taxas e x o tempo.

.00

.05

.1 0

.1 5

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D B + 3 M

IN D B + 6 M

IN D B + 1 A

IN D B + 2 A

IN D B + 3 A

IN D B + 4 A

IN D B + 5 A

IN D B + 7 A

IN D B + 8 A

IN D B + 9 A

IN D B + 1 0A

IN D B + 1 5 A

IN D B + 2 0A

IN D B + 3 0A

Figura D.1 7 : Yields Industrial B + . Abcissa y representa as taxas e x o tempo.

DBD



.00

.05

.1 0

.1 5

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D B 3 M

IN D B 6 M

IN D B 1 A

IN D B 2 A

IN D B 3 A

IN D B 4 A

IN D B 5 A

IN D B 7 A

IN D B 8 A

IN D B 9 A

IN D B 1 0A

IN D B 1 5 A

IN D B 2 0A

IN D B 3 0A

Figura D.1 8 : Yields Industrial B . Abcissa y representa as taxas e x o tempo.

.00

.05

.1 0

.1 5

9 8 9 9 00 01 02 03 04 05 06 07 08

IN D B - 3 M

IN D B - 6 M

IN D B - 1 A

IN D B - 2 A

IN D B - 3 A

IN D B - 4 A

IN D B - 5 A

IN D B - 7 A

IN D B - 8 A

IN D B - 9 A

IN D B - 1 0A

IN D B - 1 5 A

IN D B - 2 0A

IN D B - 3 0A

Figura D.1 9 : Yields Industrial B −. Abcissa y representa as taxas e x o tempo.

DBD



.00

.02

.04

.06

.08

.1 0

9 8 9 9 00 01 02 03 04 05 06 07 08

B A N K A 3 M

BANK A 6M

BANK A 1 A

BANK A 2 A

BANK A 3 A

BANK A 4 A

BANK A 5 A

BANK A 7 A

BANK A 8 A

BANK A 9 A

BANK A 1 0 A

BANK A 1 5 A

BANK A 2 0 A

Figura D.20: Yields Bank A. Abcissa y representa as taxas e x o tempo.

.00

.02

.04

.06

.08

.1 0

9 8 9 9 00 01 02 03 04 05 06 07 08

B A N K B B B 3 M

B A N K B B B 6 M

B A N K B B B 1 A

B A N K B B B 2 A

B A N K B B B 3 A

B A N K B B B 4 A

B A N K B B B 5 A

B A N K B B B 7 A

B A N K B B B 8 A

B A N K B B B 9 A

B A N K B B B 1 0A

B A N K B B B 1 5 A

Figura D.21: Yields Bank B B B . Abcissa y representa as taxas e x o tempo.

DBD



.00

.02

.04

.06

.08

.1 0

9 8 9 9 00 01 02 03 04 05 06 07 08

R E T A A 3 M

R E T A A 6 M

R E T A A 1 A

R E T A A 2 A

R E T A A 3 A

R E T A A 4 A

R E T A A 5 A

R E T A A 7 A

R E T A A 8 A

R E T A A 9 A

R E T A A 1 0A

R E T A A 1 5 A

R E T A A 2 0A

Figura D.22: Yields R etail AA. Abcissa y representa as taxas e x o tempo.

.00

.02

.04

.06

.08

.1 0

9 8 9 9 00 01 02 03 04 05 06 07 08

R E T A 3 M

R E T A 6 M

R E T A 1 A

R E T A 2 A

R E T A 3 A

R E T A 4 A

R E T A 5 A

R E T A 7 A

R E T A 8 A

R E T A 9 A

R E T A 1 0A

R E T A 1 5 A

R E T A 2 0A

R E T A 3 0A

Figura D.23: Yields R etail A. Abcissa y representa as taxas e x o tempo.

DBD



.00

.02

.04

.06

.08

.1 0

9 8 9 9 00 01 02 03 04 05 06 07 08

R E T B B B 3 M

R E T B B B 6 M

R E T B B B 1 A

R E T B B B 2 A

R E T B B B 3 A

R E T B B B 4 A

R E T B B B 5 A

R E T B B B 7 A

R E T B B B 8 A

R E T B B B 9 A

R E T B B B 1 0A

R E T B B B 1 5 A

R E T B B B 2 0A

R E T B B B 3 0A

Figura D.24: Yields R etail B B B . Abcissa y representa as taxas e x o tempo.

DBD



Ind ustrial AAA

M at(meses) M E D DP M IN M AX ρ(3) ρ(12) ρ(18)

3 3, 763 1, 713 0, 979 6, 598 0, 915 0, 552 0, 241

6 3, 853 1, 701 1, 015 6, 807 0, 981 0, 566 0, 250

12 3, 957 1, 618 1, 009 7, 055 0, 913 0, 565 0, 258

24 4, 180 1, 448 1, 268 7, 152 0, 901 0, 562 0, 269

36 4, 436 1, 284 1, 632 7, 195 0, 884 0, 561 0, 284

48 4, 667 1, 126 2, 090 7, 232 0, 861 0, 534 0, 295

60 4, 808 1, 038 2, 400 7, 243 0, 852 0, 526 0, 302

84 5, 087 0, 882 2, 975 7, 310 0, 844 0, 519 0, 326

96 5, 214 0, 818 3, 314 7, 320 0, 845 0, 507 0, 317

108 5, 293 0, 780 3, 499 7, 329 0, 845 0, 494 0, 308

120 5, 344 0, 747 3, 628 7, 325 0, 839 0, 481 0, 299

180 5, 670 0, 636 4, 300 7, 329 0, 828 0, 491 0, 344

240 5, 826 0, 592 4, 626 7, 333 0, 840 0, 507 0, 365

Ind ustrial AA


3 3, 842 1, 696 1, 043 6, 691 0, 924 0, 556 0, 242

6 3, 926 1, 685 1, 132 6, 857 0, 927 0, 570 0, 251

12 4, 033 1, 596 1, 193 7, 079 0, 920 0, 569 0, 261

24 4, 257 1, 425 1, 425 7, 173 0, 906 0, 565 0, 275

36 4, 520 1, 257 1, 811 7, 245 0, 895 0, 568 0, 239

48 4, 744 1, 111 2, 240 7, 279 0, 874 0, 544 0, 302

60 4, 896 1, 024 2, 474 7, 314 0, 870 0, 534 0, 306

84 5, 186 0, 873 3, 223 7, 372 0, 858 0, 520 0, 326

96 5, 307 0, 819 3, 470 7, 392 0, 857 0, 514 0, 319

108 5, 382 0, 786 3, 633 7, 394 0, 860 0, 505 0, 311

120 5, 430 0, 758 3, 818 7, 420 0, 852 0, 491 0, 302

180 5, 766 0, 650 4, 513 7, 455 0, 832 0, 506 0, 345

240 5, 933 0, 607 4, 800 7, 500 0, 855 0, 528 0, 377

360 5, 935 0, 634 4, 852 7, 461 0, 870 0, 576 0, 427

DBD



Ind ustrial A+


3 3, 921 1, 744 0, 977 6, 952 0, 932 0, 578 0, 263

6 4, 006 1, 675 1, 149 7, 001 0, 933 0, 582 0, 268

12 4, 165 1, 550 1, 393 7, 090 0, 933 0, 588 0, 278

24 4, 445 1, 353 1, 820 7, 236 0, 928 0, 592 0, 294

36 4, 682 1, 207 2, 182 7, 350 0, 918 0, 585 0, 307

48 4, 881 1, 099 2, 509 7, 438 0, 905 0, 573 0, 316

60 5, 051 1, 017 2, 802 7, 505 0, 893 0, 559 0, 324

84 5, 321 0, 905 3, 304 7, 598 0, 873 0, 536 0, 338

96 5, 428 0, 865 3, 518 7, 629 0, 866 0, 530 0, 344

108 5, 521 0, 831 3, 710 7, 653 0, 861 0, 526 0, 351

120 5, 602 0, 803 3, 883 7, 672 0, 859 0, 525 0, 341

180 5, 881 0, 712 4, 524 7, 717 0, 857 0, 541 0, 390

240 6, 039 0, 663 4, 866 7, 729 0, 858 0, 565 0, 426

360 6, 204 0, 620 5, 004 7, 732 0, 852 0, 616 0, 482

Ind ustrial A


3 4, 045 1, 658 1, 168 6, 854 0, 932 0, 565 0, 255

6 4, 126 1, 659 1, 207 7, 124 0, 936 0, 579 0, 265

12 4, 236 1, 575 1, 344 7, 297 0, 928 0, 578 0, 278

24 4, 472 1, 406 1, 751 7, 455 0, 916 0, 580 0, 294

36 4, 756 1, 240 2, 192 7, 540 0, 910 0, 591 0, 321

48 4, 982 1, 105 2, 575 7, 589 0, 902 0, 585 0, 338

60 5, 137 1, 041 2, 808 7, 613 0, 891 0, 578 0, 350

84 5, 434 0, 912 3, 517 7, 685 0, 878 0, 554 0, 373

96 5, 627 0, 829 3, 934 7, 770 0, 875 0, 548 0, 365

108 5, 552 0, 866 3, 834 7, 729 0, 873 0, 544 0, 356

120 5, 673 0, 805 4, 085 7, 759 0, 866 0, 543 0, 345

180 6, 059 0, 711 4, 840 7, 811 0, 856 0, 560 0, 395

240 6, 223 0, 692 4, 992 7, 909 0, 877 0, 583 0, 431

360 6, 219 0, 706 4, 972 7, 922 0, 855 0, 637 0, 485

Ind ustrial A−


3 4, 171 1, 629 1, 210 6, 969 0, 937 0, 568 0, 259

6 4, 260 1, 628 1, 296 7, 158 0, 941 0, 584 0, 271

12 4, 378 1, 533 1, 478 7, 358 0, 933 0, 584 0, 284

24 4, 622 1, 367 1, 956 7, 509 0, 922 0, 588 0, 303

36 4, 902 1, 221 2, 366 7, 646 0, 909 0, 593 0, 329

48 5, 125 1, 100 2, 755 7, 722 0, 904 0, 586 0, 348

60 5, 291 1, 028 3, 082 7, 728 0, 892 0, 583 0, 361

84 5, 592 0, 918 3, 683 7, 800 0, 881 0, 584 0, 394

96 5, 706 0, 879 3, 941 7, 857 0, 873 0, 580 0, 390

108 5, 782 0, 850 4, 054 7, 890 0, 869 0, 567 0, 383

120 5, 830 0, 821 4, 281 7, 900 0, 863 0, 559 0, 381

180 6, 212 0, 736 4, 930 7, 940 0, 854 0, 599 0, 414

240 6, 382 0, 718 5, 053 8, 042 0, 875 0, 623 0, 436

360 6, 383 0, 709 5, 089 8, 079 0, 884 0, 633 0, 461

DBD



Ind ustrial B B B +


3 4, 293 1, 613 1, 356 7, 141 0, 937 0, 572 0, 266

6 4, 378 1, 611 1, 408 7, 262 0, 941 0, 588 0, 277

12 4, 501 1, 519 1, 588 7, 559 0, 934 0, 587 0, 289

24 4, 763 1, 354 2, 060 7, 668 0, 924 0, 593 0, 309

36 5, 034 1, 220 2, 464 7, 820 0, 909 0, 598 0, 333

48 5, 262 1, 101 2, 861 7, 890 0, 905 0, 594 0, 353

60 5, 430 1, 034 3, 171 7, 920 0, 894 0, 588 0, 363

84 5, 737 0, 922 3, 771 8, 003 0, 882 0, 590 0, 396

96 5, 841 0, 884 3, 990 8, 062 0, 872 0, 586 0, 392

108 5, 922 0, 848 4, 122 8, 095 0, 866 0, 573 0, 385

120 5, 985 0, 810 4, 435 8, 106 0, 865 0, 565 0, 383

180 6, 361 0, 712 5, 216 8, 235 0, 836 0, 605 0, 416

240 6, 532 0, 688 5, 274 8, 195 0, 853 0, 630 0, 438

360 6, 552 0, 690 5, 255 8, 188 0, 871 0, 640 0, 464

Ind ustrial B B B


3 4, 413 1, 568 1, 516 7, 240 0, 937 0, 568 0, 265

6 4, 505 1, 569 1, 614 7, 334 0, 941 0, 584 0, 276

12 4, 633 1, 481 1, 773 7, 602 0, 932 0, 583 0, 289

24 4, 893 1, 322 2, 311 7, 754 0, 922 0, 591 0, 312

36 5, 164 1, 188 2, 644 7, 901 0, 904 0, 596 0, 337

48 5, 393 1, 072 3, 090 7, 999 0, 897 0, 592 0, 358

60 5, 569 1, 008 3, 378 8, 057 0, 884 0, 579 0, 367

84 5, 873 0, 904 3, 977 8, 127 0, 870 0, 580 0, 400

96 5, 986 0, 866 4, 217 8, 143 0, 856 0, 576 0, 397

108 6, 077 0, 829 4, 351 8, 188 0, 849 0, 561 0, 389

120 6, 144 0, 794 4, 589 8, 193 0, 841 0, 537 0, 387

180 6, 539 0, 714 5, 318 8, 497 0, 809 0, 575 0, 421

240 6, 704 0, 692 5, 397 8, 472 0, 826 0, 582 0, 443

360 6, 720 0, 681 5, 339 8, 304 0, 851 0, 617 0, 469

Ind ustrial B B B −


3 4, 613 1, 531 1, 726 7, 555 0, 937 0, 580 0, 275

6 4, 716 1, 530 1, 821 7, 529 0, 940 0, 593 0, 287

12 4, 846 1, 452 1, 938 7, 754 0, 931 0, 585 0, 295

24 5, 101 1, 315 2, 504 7, 994 0, 917 0, 591 0, 314

36 5, 376 1, 193 2, 917 8, 134 0, 902 0, 591 0, 337

48 5, 595 1, 096 3, 371 8, 228 0, 900 0, 598 0, 359

60 5, 771 1, 035 3, 631 8, 259 0, 887 0, 588 0, 362

84 6, 087 0, 923 4, 213 8, 377 0, 872 0, 585 0, 395

96 6, 200 0, 888 4, 395 8, 427 0, 860 0, 580 0, 391

108 6, 289 0, 848 4, 530 8, 447 0, 848 0, 572 0, 378

120 6, 366 0, 820 4, 760 8, 469 0, 844 0, 563 0, 375

180 6, 726 0, 747 5, 497 8, 772 0, 799 0, 567 0, 385

240 6, 892 0, 712 5, 552 8, 723 0, 812 0, 586 0, 413

360 6, 918 0, 697 5, 570 8, 577 0, 835 0, 621 0, 420

DBD


Apendice D. Apendice - Construcao de Dados 12 0

Ind ustrial B B +


3 5, 472 1, 497 2, 207 8, 750 0, 889 0, 410 0, 176

6 5, 551 1, 479 2, 277 8, 851 0, 897 0, 437 0, 200

12 5, 706 1, 414 2, 609 8, 900 0, 892 0, 463 0, 232

24 5, 982 1, 301 3, 238 8, 937 0, 894 0, 532 0, 307

36 6, 264 1, 199 3, 739 9, 030 0, 880 0, 550 0, 330

48 6, 490 1, 137 4, 120 9, 075 0, 880 0, 554 0, 339

60 6, 700 1, 110 4, 410 9, 482 0, 842 0, 541 0, 339

84 6, 977 1, 061 4, 885 10, 021 0, 797 0, 521 0, 332

96 7, 094 1, 048 5, 126 10, 310 0, 780 0, 516 0, 333

108 7, 204 1, 029 5, 316 10, 377 0, 772 0, 507 0, 328

120 7, 315 1, 007 5, 493 10, 373 0, 771 0, 500 0, 320

180 7, 636 1, 007 5, 853 10, 899 0, 727 0, 479 0, 298

240 7, 767 1, 010 5, 904 10, 950 0, 722 0, 481 0, 293

360 7, 747 1, 046 5, 796 10, 837 0, 755 0, 517 0, 328

Ind ustrial B B


3 5, 787 1, 503 2, 534 9, 898 0, 846 0, 415 0, 188

6 5, 872 1, 472 2, 603 9, 562 0, 854 0, 444 0, 216

12 6, 040 1, 415 2, 931 10, 049 0, 837 0, 465 0, 241

24 6, 343 1, 294 3, 974 10, 407 0, 835 0, 511 0, 298

36 6, 636 1, 213 4, 465 10, 849 0, 811 0, 517 0, 314

48 6, 889 1, 144 4, 907 10, 624 0, 814 0, 520 0, 324

60 7, 094 1, 129 5, 204 11, 077 0, 777 0, 516 0, 329

84 7, 379 1, 098 5, 534 11, 350 0, 736 0, 505 0, 333

96 7, 509 1, 099 5, 670 11, 787 0, 706 0, 484 0, 323

108 7, 617 1, 077 5, 802 11, 916 0, 702 0, 478 0, 315

120 7, 732 1, 059 5, 907 11, 950 0, 699 0, 468 0, 307

180 8, 079 1, 037 6, 275 12, 553 0, 643 0, 417 0, 263

240 8, 220 1, 041 6, 289 12, 617 0, 643 0, 420 0, 261

360 8, 236 1, 029 6, 251 12, 345 0, 668 0, 443 0, 271

Ind ustrial B B −


3 6, 059 1, 608 2, 689 10, 302 0, 843 0, 434 0, 202

6 6, 144 1, 574 2, 758 10, 151 0, 849 0, 456 0, 223

12 6, 317 1, 518 3, 088 10, 654 0, 838 0, 478 0, 249

24 6, 646 1, 404 4, 107 11, 119 0, 837 0, 510 0, 285

36 6, 937 1, 331 4, 542 11, 595 0, 818 0, 516 0, 298

48 7, 208 1, 275 4, 979 11, 415 0, 826 0, 529 0, 314

60 7, 413 1, 256 5, 297 11, 920 0, 794 0, 529 0, 319

84 7, 696 1, 223 5, 628 12, 298 0, 754 0, 521 0, 326

96 7, 822 1, 217 5, 801 12, 740 0, 728 0, 513 0, 326

108 7, 918 1, 189 5, 927 12, 868 0, 725 0, 515 0, 329

120 8, 018 1, 167 6, 015 12, 878 0, 721 0, 512 0, 326

180 8, 391 1, 163 6, 362 13, 432 0, 687 0, 480 0, 307

240 8, 554 1, 183 6, 458 13, 471 0, 705 0, 500 0, 321

DBD



Ind ustrial B +


3 6, 371 1, 574 3, 294 11, 213 0, 817 0, 446 0, 221

6 6, 459 1, 570 3, 362 11, 489 0, 805 0, 456 0, 237

12 6, 645 1, 492 3, 691 11, 599 0, 806 0, 486 0, 266

24 6, 999 1, 349 4, 454 11, 953 0, 802 0, 505 0, 296

36 7, 317 1, 267 5, 151 12, 372 0, 779 0, 506 0, 300

48 7, 578 1, 223 5, 491 12, 279 0, 777 0, 519 0, 315

60 7, 777 1, 224 5, 863 12, 777 0, 743 0, 512 0, 313

84 8, 045 1, 213 6, 117 13, 016 0, 720 0, 517 0, 326

96 8, 160 1, 226 6, 220 13, 488 0, 697 0, 513 0, 331

108 8, 240 1, 221 6, 237 13, 641 0, 697 0, 514 0, 333

120 8, 326 1, 205 6, 324 13, 624 0, 694 0, 514 0, 330

180 8, 696 1, 209 6, 785 14, 129 0, 669 0, 484 0, 312

240 8, 848 1, 231 6, 805 14, 165 0, 686 0, 510 0, 331

360 8, 882 1, 250 6, 783 13, 975 0, 714 0, 547 0, 357

Ind ustrial B


3 6, 786 1, 726 3, 484 11, 445 0, 814 0, 424 0, 219

6 6, 900 1, 717 3, 548 11, 755 0, 804 0, 437 0, 235

12 7, 103 1, 634 3, 893 11, 785 0, 809 0, 469 0, 266

24 7, 480 1, 458 5, 038 12, 214 0, 812 0, 504 0, 312

36 7, 810 1, 383 5, 627 12, 661 0, 798 0, 501 0, 308

48 8, 103 1, 353 5, 990 12, 588 0, 802 0, 520 0, 328

60 8, 297 1, 368 6, 198 13, 087 0, 791 0, 540 0, 339

84 8, 567 1, 381 6, 405 13, 320 0, 780 0, 548 0, 352

96 8, 671 1, 399 6, 445 13, 801 0, 764 0, 550 0, 360

108 8, 751 1, 405 6, 464 13, 950 0, 765 0, 565 0, 375

120 8, 810 1, 399 6, 465 13, 928 0, 762 0, 577 0, 378

180 9, 173 1, 410 6, 846 14, 427 0, 747 0, 548 0, 362

240 9, 323 1, 463 6, 860 14, 476 0, 762 0, 567 0, 378

360 9, 372 1, 507 6, 845 14, 269 0, 785 0, 581 0, 380

DBD



Ind ustrial B −


3 7, 417 2, 013 3, 931 13, 115 0, 798 0, 443 0, 255

6 7, 546 1, 996 4, 249 13, 482 0, 783 0, 457 0, 273

12 7, 751 1, 933 4, 602 13, 494 0, 789 0, 492 0, 297

24 8, 207 1, 744 5, 718 13, 905 0, 788 0, 523 0, 336

36 8, 633 1, 630 6, 329 14, 355 0, 766 0, 516 0, 322

48 8, 941 1, 585 6, 715 14, 398 0, 765 0, 537 0, 337

60 9, 177 1, 632 6, 833 14, 738 0, 761 0, 548 0, 344

84 9, 448 1, 669 6, 822 14, 736 0, 761 0, 565 0, 362

96 9, 535 1, 717 6, 724 15, 154 0, 759 0, 574 0, 376

108 9, 620 1, 745 6, 675 15, 269 0, 763 0, 579 0, 380

120 9, 674 1, 767 6, 728 15, 280 0, 770 0, 587 0, 380

180 9, 946 1, 795 7, 020 15, 833 0, 748 0, 570 0, 373

240 10, 049 1, 842 6, 977 15, 876 0, 751 0, 574 0, 372

360 10, 071 1, 831 6, 993 15, 645 0, 760 0, 579 0, 374

T abela D.6: E statısticas d as series d o ramo ind ustrial para d iferentes ratings, paramaturid ad es e correlacoes med id as em meses.

R etail AA


3 3, 820 1, 747 1, 009 6, 923 0, 929 0, 562 0, 247

6 3, 880 1, 734 1, 023 6, 955 0, 928 0, 574 0, 257

12 3, 989 1, 648 1, 120 7, 189 0, 919 0, 573 0, 264

24 4, 223 1, 476 1, 236 7, 189 0, 900 0, 561 0, 278

36 4, 482 1, 275 1, 726 7, 254 0, 899 0, 565 0, 291

48 4, 687 1, 132 2, 116 7, 301 0, 876 0, 542 0, 294

60 4, 868 1, 032 2, 452 7, 360 0, 871 0, 521 0, 296

84 5, 187 0, 856 3, 301 7, 444 0, 845 0, 495 0, 315

96 5, 286 0, 814 3, 542 7, 464 0, 848 0, 506 0, 329

108 5, 377 0, 770 3, 677 7, 505 0, 846 0, 499 0, 325

120 5, 453 0, 736 3, 814 7, 511 0, 833 0, 481 0, 314

180 5, 747 0, 664 4, 184 7, 527 0, 813 0, 465 0, 342

240 5, 977 0, 586 4, 783 7, 520 0, 823 0, 498 0, 356

DBD



R etail A


3 4, 033 1, 744 1, 066 7, 321 0, 924 0, 549 0, 246

6 4, 093 1, 714 1, 152 7, 280 0, 928 0, 558 0, 254

12 4, 207 1, 626 1, 312 7, 440 0, 928 0, 571 0, 270

24 4, 468 1, 432 1, 720 7, 466 0, 919 0, 584 0, 301

36 4, 694 1, 287 1, 955 7, 513 0, 909 0, 578 0, 319

48 4, 918 1, 136 2, 479 7, 535 0, 899 0, 576 0, 333

60 5, 109 1, 045 2, 655 7, 561 0, 886 0, 566 0, 345

84 5, 438 0, 896 3, 613 7, 620 0, 869 0, 572 0, 367

96 5, 548 0, 859 3, 858 7, 676 0, 861 0, 585 0, 383

108 5, 630 0, 830 3, 972 7, 718 0, 860 0, 573 0, 401

120 5, 705 0, 803 4, 088 7, 763 0, 854 0, 566 0, 397

180 6, 126 0, 689 4, 864 7, 855 0, 792 0, 513 0, 432

240 6, 329 0, 675 5, 015 7, 933 0, 829 0, 577 0, 384

360 6, 285 0, 705 4, 996 7, 988 0, 845 0, 583 0, 386

R etail B B B


3 4, 479 1, 689 1, 279 8, 210 0, 923 0, 535 0, 234

6 4, 571 1, 663 1, 311 8, 337 0, 927 0, 554 0, 248

12 4, 737 1, 557 1, 785 8, 390 0, 926 0, 564 0, 267

24 4, 980 1, 415 2, 236 8, 493 0, 916 0, 564 0, 290

36 5, 236 1, 266 2, 698 8, 678 0, 901 0, 557 0, 306

48 5, 493 1, 152 3, 214 8, 794 0, 897 0, 553 0, 318

60 5, 696 1, 119 3, 372 8, 851 0, 887 0, 541 0, 318

84 6, 084 0, 995 4, 110 9, 028 0, 862 0, 500 0, 286

96 6, 218 0, 975 4, 421 9, 083 0, 844 0, 486 0, 280

108 6, 313 0, 963 4, 447 9, 139 0, 837 0, 470 0, 267

120 6, 384 0, 949 4, 480 9, 154 0, 840 0, 472 0, 272

180 6, 717 0, 851 4, 991 9, 107 0, 811 0, 442 0, 247

240 6, 932 0, 794 5, 686 9, 090 0, 811 0, 483 0, 276

360 6, 973 0, 817 5, 684 9, 194 0, 814 0, 468 0, 271

T abela D.7: E statısticas d as series d o ramo retail para d iferentes ratings, paramaturid ad es e correlacoes med id as em meses.

DBD



Bank A


3 4, 054 1, 725 1, 094 6, 958 0, 942 0, 579 0, 276

6 4, 173 1, 734 1, 089 7, 277 0, 947 0, 587 0, 281

12 4, 322 1, 608 1, 237 7, 392 0, 941 0, 597 0, 300

24 4, 627 1, 400 1, 720 7, 539 0, 930 0, 611 0, 332

36 4, 919 1, 220 2, 354 7, 585 0, 917 0, 609 0, 353

48 5, 160 1, 092 2, 646 7, 624 0, 904 0, 604 0, 379

60 5, 296 1, 024 3, 055 7, 720 0, 898 0, 606 0, 385

84 5, 667 0, 890 3, 838 7, 839 0, 891 0, 607 0, 419

96 5, 771 0, 852 3, 896 7, 900 0, 877 0, 569 0, 399

108 5, 810 0, 833 3, 985 7, 913 0, 869 0, 569 0, 395

120 5, 881 0, 825 4, 040 8, 009 0, 857 0, 569 0, 390

180 6, 200 0, 835 4, 526 8, 066 0, 861 0, 632 0, 428

240 6, 460 0, 742 5, 062 8, 149 0, 851 0, 587 0, 403

Bank B B B


3 4, 217 1, 697 1, 228 7, 279 0, 941 0, 589 0, 277

6 4, 341 1, 704 1, 236 7, 509 0, 941 0, 595 0, 280

12 4, 505 1, 582 1, 562 7, 605 0, 931 0, 593 0, 288

24 4, 840 1, 359 2, 135 7, 685 0, 911 0, 599 0, 318

36 5, 114 1, 228 2, 536 7, 905 0, 903 0, 609 0, 338

48 5, 400 1, 082 3, 013 7, 968 0, 871 0, 565 0, 340

60 5, 556 1, 062 3, 363 8, 038 0, 849 0, 558 0, 340

84 5, 928 0, 946 4, 086 8, 134 0, 809 0, 550 0, 358

96 6, 048 0, 933 4, 196 8, 648 0, 770 0, 521 0, 345

108 6, 122 0, 922 4, 501 8, 737 0, 772 0, 532 0, 350

120 6, 136 0, 935 4, 595 8, 884 0, 757 0, 518 0, 344

180 6, 512 0, 970 4, 958 9, 706 0, 718 0, 512 0, 359

T abela D.8: E statısticas d as series d o ramo bank para d iferentes ratings, paramaturid ad es e correlacoes med id as em meses.

DBD


E

Apendice - Resultados

E.1

Resultados: Sovereign Bonds

E stad os U nid os

S erie M E D DP M IN M AX ρ(0, 2) ρ(1) ρ(3) ρ(6) ρ(12)

L E U A 5, 431 0, 501 3, 410 6, 430 0, 946 0, 840 0, 734 0, 624 0, 454

S E U A −2, 246 1, 854 −5, 540 0, 270 0, 996 0, 973 0, 897 0, 775 0, 514

Alemanh a


L G E R 5,091 0,622 3,630 6,370 0,987 0,944 0,888 0,809 0,639

S G E R -2,033 0,996 -3,720 -0,290 0,994 0,955 0,865 0,679 0,536

B rasil


L B R A 10, 662 3, 138 6, 160 22, 500 0, 987 0, 942 0, 816 0, 635 0, 435

S B R A −4, 886 2, 528 −10, 770 7, 180 0, 962 0, 775 0, 619 0, 405 0, 027

M exico


L M E X 8, 036 1, 323 6, 030 12, 89 0, 990 0, 933 0, 856 0, 728 0, 481

S M E X −4, 136 2, 021 −8, 290 0, 930 0, 993 0, 949 0, 893 0, 798 0, 528

DBD


Apendice E . Apendice - R esultados 12 6

C olombia


L C O L 9, 580 1, 855 6, 450 14, 330 0, 990 0, 931 0, 818 0, 716 0, 516

S C O L −5, 085 2, 242 −9, 330 −1, 480 0, 989 0, 930 0, 818 0, 727 0, 443

T abela E .1: E statısticas d as series d e fatores d os so vereign bo nds, para maturid ad ese correlacoes med id as em meses.

DBD



E.2

Resultados: C orporate Bonds

Ind ustrial

S erie M E D DP M IN M AX ρ(0, 2) ρ(6) ρ(12)

L AAA 6, 337 0, 545 4, 960 7, 820 0, 977 0, 822 0,597

L AA 6, 348 0, 541 5, 180 7, 570 0, 984 0, 706 0, 513

L A+ 6, 538 0, 578 5, 290 7, 870 0, 985 0, 691 0,502

L A 6, 658 0, 626 5, 360 8, 170 0, 988 0,693 0,504

L A- 6, 817 0, 637 5, 430 8, 560 0, 984 0, 74 0, 561

L B B B + 6, 985 0, 597 5, 680 8, 890 0, 982 0,740 0,560

L B B B 7, 180 0, 615 5, 730 9, 180 0, 982 0, 629 0,477

L B B B − 7, 360 0, 625 5, 930 9, 460 0, 98 0,628 0,476

L B B + 8, 167 1, 095 5, 960 11, 450 0, 974 0, 532 0, 416

L B B 8, 666 1, 087 6, 470 13, 100 0, 946 0, 49 0, 342

L B B − 9, 107 1, 205 6, 830 14, 340 0, 943 0, 509 0, 404

L B + 9, 234 1, 354 6, 620 14, 570 0, 951 0, 586 0, 493

L B 9, 660 1, 689 6, 500 14, 870 0, 97 0, 653 0, 54

L B − 10, 200 2, 179 6, 290 16, 140 0, 974 0, 648 0, 525

S AAA −2, 650 1, 929 −6, 210 −0, 310 0, 995 0, 805 0, 544

S AA −2, 627 1, 771 −5, 970 −0, 370 0, 996 0, 815 0, 559

S A+ −2, 707 1, 723 −6, 020 −0, 500 0, 996 0, 801 0, 55

S A −2, 739 1, 686 −5, 990 −0, 570 0, 996 0, 801 0, 551

S A− −2, 767 1, 656 −6, 000 −0, 650 0, 996 0, 802 0, 541

S B B B + −2, 814 1, 635 −5, 990 −0, 660 0, 996 0, 798 0, 539

S B B B −2, 885 1, 579 −6, 010 −0, 670 0, 996 0, 776 0, 520

S B B B − −2, 861 1, 482 −5, 950 −0, 640 0, 995 0, 762 0, 500

S B B + −2, 840 1, 378 −5, 620 −0, 440 0, 992 0, 638 0, 326

S B B −3, 023 1, 243 −5, 940 −0, 440 0, 99 0, 59 0, 274

S B B − −3, 159 1, 255 −5, 820 −0, 590 0, 988 0, 553 0, 192

S B + −3, 001 0, 995 −5, 290 −0, 570 0, 986 0, 493 0, 102

S B −3, 004 0, 956 −5, 150 −0, 790 0, 985 0, 466 0, 033

S B − −2, 972 1, 121 −5, 170 −0, 380 0, 986 0, 524 0, 065

T abela E .2: E statısticas d as series d e fatores d os co rpo rate bo nds d o ramo ind ustrial,para maturid ad es e correlacoes med id as em meses.

DBD



Bank


L A 6, 923 0, 742 5, 290 8, 700 0, 977 0, 669 0, 504

L B B B 7, 181 1, 152 5, 100 12, 080 0, 961 0, 464 0, 327

S A −2, 955 1, 870 −6, 070 −0, 550 0, 994 0, 799 0, 529

S B B B −3, 073 1, 966 −7, 190 −0, 420 0, 988 0, 725 0, 475

T abela E .3: E statısticas d as series d e fatores d os co rpo rate bo nds d o ramo bank, paramaturid ad es e correlacoes med id as em meses.

R etail


L AA 6, 515 0, 606 5, 000 8, 600 0, 984 0,640 0,421

L A 6, 828 0, 688 5, 360 9, 010 0, 98 0, 638 0, 419

L B B B 7, 460 0, 758 6, 240 9, 540 0, 977 0, 54 0, 364

S AA −2, 783 1, 943 −6, 260 −0, 350 0, 995 0, 779 0, 526

S A −2, 928 1, 821 −6, 480 −0, 520 0, 996 0, 774 0, 522

S B B B −3, 120 1, 563 −6, 040 −0, 830 0, 995 0, 74 0, 503

T abela E .4: E statısticas d as series d e fatores d os co rpo rate bo nds d o ramo retail,para maturid ad es e correlacoes med id as em meses.

DBD


Apen

dice

E.

Apen

dice

-Resu

ltados

129

Correlacao entre series de level

LINDA LINDA+ LINDA- LINDAA LINDAAA LINDB LINDB + LINDB - LINDB B LINDB B +

L IN D A 1, 000 0, 9 9 0 0, 9 8 0 0, 9 6 5 0, 8 7 9 0, 8 07 0, 7 9 7 0, 7 5 2 0, 7 13 0, 7 6 5

L IN D A + 0, 9 9 0 1, 000 0, 9 6 7 0, 9 6 7 0, 8 9 2 0, 7 7 9 0, 7 6 9 0, 7 16 0, 6 9 6 0, 7 5 3

L IN D A − 0, 9 8 0 0, 9 6 7 1, 000 0, 9 3 1 0, 8 6 3 0, 8 5 6 0, 8 5 4 0, 7 9 8 0, 7 8 6 0, 8 2 1

L IN D A A 0, 9 6 5 0, 9 6 7 0, 9 3 1 1, 000 0, 9 2 8 0, 7 2 3 0, 7 03 0, 6 8 6 0, 6 2 7 0, 6 9 2

L IN D A A A 0, 8 7 9 0, 8 9 2 0, 8 6 3 0, 9 2 8 1, 000 0, 6 9 1 0, 6 8 3 0, 6 6 1 0, 6 7 8 0, 7 3 5

L IN D B 0, 8 07 0, 7 7 9 0, 8 5 6 0, 7 2 3 0, 6 9 1 1, 000 0, 9 7 8 0, 9 7 0 0, 8 9 7 0, 8 9 5

L IN D B + 0, 7 9 7 0, 7 6 9 0, 8 5 4 0, 7 03 0, 6 8 3 0, 9 7 8 1, 000 0, 9 4 2 0, 9 3 1 0, 9 14

L IN D B − 0, 7 5 2 0, 7 16 0, 7 9 8 0, 6 8 6 0, 6 6 1 0, 9 7 0 0, 9 4 2 1, 000 0, 8 4 5 0, 8 5 7

L IN D B B 0, 7 13 0, 6 9 6 0, 7 8 6 0, 6 2 7 0, 6 7 8 0, 8 9 7 0, 9 3 1 0, 8 4 5 1, 000 0, 9 5 4

L IN D B B + 0, 7 6 5 0, 7 5 3 0, 8 2 1 0, 6 9 2 0, 7 3 5 0, 8 9 5 0, 9 14 0, 8 5 7 0, 9 5 4 1, 000

L IN D B B − 0, 7 6 4 0, 7 4 1 0, 8 2 8 0, 6 7 3 0, 7 07 0, 9 3 0 0, 9 6 8 0, 8 9 1 0, 9 6 8 0, 9 4 0

L IN D B B B 0, 9 2 9 0, 9 18 0, 9 6 3 0, 8 5 4 0, 7 9 9 0, 8 6 3 0, 8 7 3 0, 8 00 0, 8 4 3 0, 8 5 8

L IN D B B B + 0, 9 6 9 0, 9 5 8 0, 9 8 8 0, 9 16 0, 8 5 2 0, 8 5 6 0, 8 6 0 0, 7 9 9 0, 8 06 0, 8 4 4

L IN D B B B − 0, 9 17 0, 8 9 9 0, 9 5 6 0, 8 3 6 0, 7 6 8 0, 8 7 1 0, 8 8 3 0, 8 15 0, 8 4 1 0, 8 5 7

L B A N K A 0, 7 4 6 0, 7 2 1 0, 8 11 0, 6 7 6 0, 6 8 9 0, 7 9 2 0, 7 9 5 0, 7 5 4 0, 7 5 3 0, 7 7 0

L B A N K B B B 0, 7 2 1 0, 6 9 5 0, 8 03 0, 6 02 0, 6 3 2 0, 8 3 8 0, 8 8 1 0, 7 7 6 0, 8 9 8 0, 8 5 7

L R E T A 0, 9 2 6 0, 9 18 0, 9 4 0 0, 8 6 4 0, 8 2 2 0, 8 15 0, 8 2 4 0, 7 5 3 0, 8 14 0, 8 3 2

L R E T B B B 0, 8 2 8 0, 8 2 1 0, 8 5 3 0, 7 2 5 0, 6 7 4 0, 7 9 9 0, 8 2 9 0, 7 17 0, 8 2 9 0, 8 3 7

L R E T A A 0, 8 4 6 0, 8 5 5 0, 8 7 3 0, 8 07 0, 8 5 9 0, 7 9 5 0, 8 01 0, 7 3 7 0, 8 5 7 0, 8 7 2

Correlacao entre series de level

LINDB B - LINDB B B LINDB B B + LINDB B B - LB ANK A LB ANK B B B LR E T A LR E T B B B LR E T AILAA

L IN D A 0, 7 6 4 0, 9 2 9 0, 9 6 9 0, 9 17 0, 7 4 6 0, 7 2 1 0, 9 2 6 0, 8 2 8 0, 8 4 6

L IN D A + 0, 7 4 1 0, 9 18 0, 9 5 8 0, 8 9 9 0, 7 2 1 0, 6 9 5 0, 9 18 0, 8 2 1 0, 8 5 5

L IN D A − 0, 8 2 8 0, 9 6 3 0, 9 8 8 0, 9 5 6 0, 8 11 0, 8 03 0, 9 4 0 0, 8 5 3 0, 8 7 3

L IN D A A 0, 6 7 3 0, 8 5 4 0, 9 16 0, 8 3 6 0, 6 7 6 0, 6 02 0, 8 6 4 0, 7 2 5 0, 8 07

L IN D A A A 0, 7 07 0, 7 9 9 0, 8 5 2 0, 7 6 8 0, 6 8 9 0, 6 3 2 0, 8 2 2 0, 6 7 4 0, 8 5 9

L IN D B 0, 9 3 0 0, 8 6 3 0, 8 5 6 0, 8 7 1 0, 7 9 2 0, 8 3 8 0, 8 15 0, 7 9 9 0, 7 9 5

L IN D B + 0, 9 6 8 0, 8 7 3 0, 8 6 0 0, 8 8 3 0, 7 9 5 0, 8 8 1 0, 8 2 4 0, 8 2 9 0, 8 01

L IN D B − 0, 8 9 1 0, 8 00 0, 7 9 9 0, 8 15 0, 7 5 4 0, 7 7 6 0, 7 5 3 0, 7 17 0, 7 3 7

L IN D B B 0, 9 6 8 0, 8 4 3 0, 8 06 0, 8 4 1 0, 7 5 3 0, 8 9 8 0, 8 14 0, 8 2 9 0, 8 5 7

L IN D B B + 0, 9 4 0 0, 8 5 8 0, 8 4 4 0, 8 5 7 0, 7 7 0 0, 8 5 7 0, 8 3 2 0, 8 3 7 0, 8 7 2

L IN D B B − 1, 000 0, 8 6 3 0, 8 4 5 0, 8 6 9 0, 7 8 7 0, 9 17 0, 8 3 3 0, 8 3 6 0, 8 4 6

L IN D B B B 0, 8 6 3 1, 000 0, 9 7 5 0, 9 8 4 0, 8 2 4 0, 8 6 3 0, 9 5 7 0, 9 05 0, 8 9 7

L IN D B B B + 0, 8 4 5 0, 9 7 5 1, 000 0, 9 6 7 0, 8 07 0, 8 16 0, 9 5 2 0, 8 6 5 0, 8 8 4

L IN D B B B − 0, 8 6 9 0, 9 8 4 0, 9 6 7 1, 000 0, 8 3 3 0, 8 7 6 0, 9 3 9 0, 9 00 0, 8 6 6

L B A N K A 0, 7 8 7 0, 8 2 4 0, 8 07 0, 8 3 3 1, 000 0, 8 2 5 0, 7 8 3 0, 7 7 8 0, 7 5 0

L B A N K B B B 0, 9 17 0, 8 6 3 0, 8 16 0, 8 7 6 0, 8 2 5 1, 000 0, 8 3 6 0, 8 3 2 0, 8 2 9

L R E T A 0, 8 3 3 0, 9 5 7 0, 9 5 2 0, 9 3 9 0, 7 8 3 0, 8 3 6 1, 000 0, 8 8 5 0, 9 2 0

L R E T B B B 0, 8 3 6 0, 9 05 0, 8 6 5 0, 9 00 0, 7 7 8 0, 8 3 2 0, 8 8 5 1, 000 0, 8 2 9

L R E T A A 0, 8 4 6 0, 8 9 7 0, 8 8 4 0, 8 6 6 0, 7 5 0 0, 8 2 9 0, 9 2 0 0, 8 2 9 1, 000

T abela E .5: C orrelacao entre as series d e level d e co rpo rate bo nds e primeira componente comum.

DBD


Apen

dice

E.

Apen

dice

-Resu

ltados

130

Correlacao entre series de slo pe

S INDA S INDA+ S INDA- S INDAA S INDAAA S INDB S INDB + S INDB - S INDB B S INDB B +

S IN D A 1, 000 0, 9 9 9 0, 9 9 6 0, 9 9 6 0, 9 9 0 0, 7 2 1 0, 7 8 9 0, 6 2 4 0, 8 4 2 0, 9 02

S IN D A + 0, 9 9 9 1, 000 0, 9 9 5 0, 9 9 7 0, 9 9 3 0, 7 2 2 0, 7 9 3 0, 6 3 1 0, 8 4 8 0, 9 04

S IN D A − 0, 9 9 6 0, 9 9 5 1, 000 0, 9 9 3 0, 9 8 9 0, 7 3 6 0, 8 01 0, 6 3 2 0, 8 5 1 0, 9 14

S IN D A A 0, 9 9 6 0, 9 9 7 0, 9 9 3 1, 000 0, 9 9 7 0, 7 11 0, 7 8 2 0, 6 2 7 0, 8 3 6 0, 8 9 5

S IN D A A A 0, 9 9 0 0, 9 9 3 0, 9 8 9 0, 9 9 7 1, 000 0, 7 18 0, 7 9 1 0, 6 3 4 0, 8 4 4 0, 8 9 7

S IN D B 0, 7 2 1 0, 7 2 2 0, 7 3 6 0, 7 11 0, 7 18 1, 000 0, 9 3 6 0, 8 7 8 0, 8 3 5 0, 8 2 3

S IN D B + 0, 7 8 9 0, 7 9 3 0, 8 01 0, 7 8 2 0, 7 9 1 0, 9 3 6 1, 000 0, 7 8 7 0, 9 3 3 0, 9 13

S IN D B − 0, 6 2 4 0, 6 3 1 0, 6 3 2 0, 6 2 7 0, 6 3 4 0, 8 7 8 0, 7 8 7 1, 000 0, 6 5 5 0, 6 6 5

S IN D B B 0, 8 4 2 0, 8 4 8 0, 8 5 1 0, 8 3 6 0, 8 4 4 0, 8 3 5 0, 9 3 3 0, 6 5 5 1, 000 0, 9 7 0

S IN D B B + 0, 9 02 0, 9 04 0, 9 14 0, 8 9 5 0, 8 9 7 0, 8 2 3 0, 9 13 0, 6 6 5 0, 9 7 0 1, 000

S IN D B B − 0, 8 3 3 0, 8 3 7 0, 8 4 2 0, 8 2 7 0, 8 3 8 0, 8 5 6 0, 9 5 8 0, 6 8 1 0, 9 7 6 0, 9 5 3

S IN D B B B 0, 9 9 2 0, 9 9 2 0, 9 9 3 0, 9 8 7 0, 9 8 3 0, 7 4 2 0, 8 2 5 0, 6 3 2 0, 8 8 5 0, 9 3 5

S IN D B B B + 0, 9 9 4 0, 9 9 4 0, 9 9 7 0, 9 9 2 0, 9 8 6 0, 7 3 1 0, 8 08 0, 6 2 5 0, 8 6 7 0, 9 2 5

S IN D B B B − 0, 9 7 9 0, 9 8 0 0, 9 7 9 0, 9 7 4 0, 9 6 8 0, 7 4 5 0, 8 3 8 0, 6 3 4 0, 9 08 0, 9 4 9

S B A N K A 0, 9 4 6 0, 9 5 0 0, 9 4 2 0, 9 5 9 0, 9 6 4 0, 6 3 5 0, 7 3 5 0, 5 4 8 0, 7 9 9 0, 8 4 4

S B A N K B B B 0, 9 6 5 0, 9 6 4 0, 9 6 6 0, 9 6 0 0, 9 6 4 0, 7 7 9 0, 8 2 8 0, 6 7 2 0, 8 4 6 0, 9 02

S R E T A 0, 9 9 0 0, 9 9 2 0, 9 8 6 0, 9 8 8 0, 9 8 5 0, 7 4 8 0, 8 19 0, 6 5 6 0, 8 7 6 0, 9 2 1

S R E T B B B 0, 9 7 4 0, 9 7 5 0, 9 7 2 0, 9 6 8 0, 9 6 6 0, 7 3 8 0, 8 4 1 0, 6 2 4 0, 9 05 0, 9 4 2

S R E T A IL A A 0, 9 8 3 0, 9 8 8 0, 9 8 0 0, 9 8 6 0, 9 8 9 0, 7 4 4 0, 8 15 0, 6 6 6 0, 8 7 1 0, 9 15

Correlacao entre series de slo pe

S IN D B B − S IN D B B B S IN D B B B + S IN D B B B − S B A N K A S B A N K B B B S R E T A S R E T B B B S R E T A IL A A

S IN D A 0, 8 3 3 0, 9 9 2 0, 9 9 4 0, 9 7 9 0, 9 4 6 0, 9 6 5 0, 9 9 0 0, 9 7 4 0, 9 8 3

S IN D A + 0, 8 3 7 0, 9 9 2 0, 9 9 4 0, 9 8 0 0, 9 5 0 0, 9 6 4 0, 9 9 2 0, 9 7 5 0, 9 8 8

S IN D A A 0, 8 2 7 0, 9 8 7 0, 9 9 2 0, 9 7 4 0, 9 5 9 0, 9 6 0 0, 9 8 8 0, 9 6 8 0, 9 8 6

S IN D A A A 0, 8 3 8 0, 9 8 3 0, 9 8 6 0, 9 6 8 0, 9 6 4 0, 9 6 4 0, 9 8 5 0, 9 6 6 0, 9 8 9

S IN D B 0, 8 5 6 0, 7 4 2 0, 7 3 1 0, 7 4 5 0, 6 3 5 0, 7 7 9 0, 7 4 8 0, 7 3 8 0, 7 4 4

S IN D B + 0, 9 5 8 0, 8 2 5 0, 8 08 0, 8 3 8 0, 7 3 5 0, 8 2 8 0, 8 19 0, 8 4 1 0, 8 15

S IN D B − 0, 6 8 1 0, 6 3 2 0, 6 2 5 0, 6 3 4 0, 5 4 8 0, 6 7 2 0, 6 5 6 0, 6 2 4 0, 6 6 6

S IN D B B 0, 9 7 6 0, 8 8 5 0, 8 6 7 0, 9 08 0, 7 9 9 0, 8 4 6 0, 8 7 6 0, 9 05 0, 8 7 1

S IN D B B + 0, 9 5 3 0, 9 3 5 0, 9 2 5 0, 9 4 9 0, 8 4 4 0, 9 02 0, 9 2 1 0, 9 4 2 0, 9 15

S IN D B B − 1, 000 0, 8 7 1 0, 8 5 5 0, 8 9 3 0, 7 9 9 0, 8 4 4 0, 8 6 2 0, 8 8 5 0, 8 5 6

S IN D B B B 0, 8 7 1 1, 000 0, 9 9 6 0, 9 9 3 0, 9 3 8 0, 9 5 7 0, 9 9 0 0, 9 8 6 0, 9 8 2

S IN D B B B + 0, 8 5 5 0, 9 9 6 1, 000 0, 9 8 8 0, 9 4 1 0, 9 5 5 0, 9 8 7 0, 9 7 7 0, 9 8 0

S IN D B B B − 0, 8 9 3 0, 9 9 3 0, 9 8 8 1, 000 0, 9 2 7 0, 9 4 3 0, 9 8 6 0, 9 8 7 0, 9 7 5 4

S B A N K A 0, 7 9 9 0, 9 3 8 0, 9 4 1 0, 9 2 7 1, 000 0, 9 07 0, 9 4 3 0, 9 2 9 0, 9 5 0

S B A N K B B B 0, 8 4 4 0, 9 5 7 0, 9 5 5 0, 9 4 3 0, 9 07 1, 000 0, 9 6 8 0, 9 5 0 0, 9 6 8

S R E T A 0, 8 6 2 0, 9 9 0 0, 9 8 7 0, 9 8 6 0, 9 4 3 0, 9 6 8 1, 000 0, 9 8 3 0, 9 9 2

S R E T B B B 0, 8 8 5 0, 9 8 6 0, 9 7 7 0, 9 8 7 0, 9 2 9 0, 9 5 0 0, 9 8 3 1, 000 0, 9 7 8

S R E T A IL A A 0, 8 5 6 0, 9 8 2 0, 9 8 0 0, 9 7 5 0, 9 5 0 0, 9 6 8 0, 9 9 2 0, 9 7 8 1, 000

T abela E .6: C orrelacao entre as series d e slo pe d e co rpo rate bo nds e primeira componente comum.

DBD


F

Apendice - Resultados Filtro de K alm an

F.1

Filtro de K alm an: Sovereign Bonds - L evel

L1,t = 0, 9 9 7 4L1,t−1 + U l1,t

L2,t = 0, 9 7 50L2,t−1 + U l2,t

LEUA − µ(LEUA) = 0, 0004 9 0L1,t + 0, 0002 9 7L2,t + εlEUA,t

εlEUA,t = 0, 9 8 6 9 εl

EUA,t−1+ [var = 2 , 9 8 4 ∗ 10−7]

LALM − µ(LALM ) = 0, 0004 2 9L1,t + 0, 0003 6 1L2,t + εlALM,t

εlALM,t = 0, 9 7 54 εl

ALM,t−1+ [var = 2 , 4 6 5 ∗ 10−7]

LBRA − µ(LBRA) = 0, 0017 52L1,t − 0, 0018 10L2,t + εlBRA,t

εlBRA,t = 0, 9 7 3 6 εl

BRA,t−1+ [var = 1, 18 2 ∗ 10−5]

LMEX − µ(LMEX) = 0, 00102 3L1,t − 0, 0007 9 9L2,t + εlMEX,t

εlMEX,t = 0, 9 8 6 7 εl

MEX,t−1+ [var = 1, 2 3 1 ∗ 10−6]

LCOL − µ(LCOL) = 0, 00114 7L1,t − 0, 00107 0L2,t + εlCOL,t

εlCOL,t = 0, 9 7 18 εl

COL,t−1+ [var = 3 , 19 1 ∗ 10−6]

F.2

Filtro de K alm an: Sovereign Bonds - Slope

S1,t = 0, 9 9 7 6S1,t−1 + US1,t

S2,t = 0, 9 6 4 2S2,t−1 + US2,t

SEUA − µ(SEUA) = 0, 001016S1,t + 0, 0002 53S2,t + εsEUA,t

εsEUA,t = 0, 9 9 8 8 εs

EUA,t−1+ [var = 2 , 16 8 ∗ 10−7]

DBD


Apendice F . Apendice - R esultados F iltro de K alm an 13 2

SALM − µ(SALM ) = 0, 00053 4S1,t + 0, 00017 6S2,t + εsALM,t

εsALM,t = 0, 9 9 2 7 εs

ALM,t−1+ [var = 6 , 14 1 ∗ 10−7]

SBRA − µ(SBRA) = 0, 0008 2 1S1,t − 0, 004 7 19S2,t + εsBRA,t

εsBRA,t = 0, 9 2 6 7 εs

BRA,t−1+ [var = 2 , 14 0 ∗ 10−5]

SMEX − µ(SMEX) = 0, 00102 6S1,t − 0, 00059 7S2,t + εsMEX,t

εsMEX,t = 0, 9 158 εs

MEX,t−1+ [var = 4 , 07 1 ∗ 10−6]

LCOL − µ(SCOL) = 0, 0009 9 9S1,t − 0, 00153 4S2,t + εsCOL,t

εsCOL,t = 0, 9 56 4 εs

COL,t−1+ [var = 6 , 12 2 ∗ 10−6]

F.3

Filtro de K alm an: C orporate Bonds - L evel

L1,t = 0, 9 8 2L1,t−1 + U l1,t

L2,t = 0, 9 9 9L2,t−1 + U l2,t

LI N D AAA − µ(LI N D AAA) = 0, 0009 52L1,t + 0, 000055L2,t + εlI N D AAA,t

εlI N D AAA,t = 0, 9 6 6 7 εl

I N D AAA,t−1+ [var = 4 , 06 4 ∗ 10−7]

LI N D A −−µ(LI N D A−) = 0, 0007 7 2L1,t − 0, 00018 0L2,t + εlI N D A−,t

εlI N D A−,t = 0, 9 7 4 6 εl

I N D A−,t−1+ [var = 2 , 52 5 ∗ 10−7]

LI N D BB − µ(LI N D BB) = 0, 0007 53L1,t − 0, 0008 7 0L2,t + εlI N D BB,t

εlI N D BB,t = 0, 9 3 8 8 εl

I N D BB,t−1+ [var = 8 , 8 8 7 ∗ 10−7]

LI N D B − µ(LI N D B) = 0, 0006 4 2L1,t − 0, 0012 2 7L2,t + εlI N D B,t

εlI N D B,t = 0, 9 8 6 9 εl

I N D B,t−1+ [var = 1, 6 3 8 ∗ 10−6]

F.4

Filtro de K alm an: C orporate Bonds - Slope

S1,t = 0, 9 9 8 0S1,t−1 + U s1,t

S2,t = 0, 9 7 9 6S2,t−1 + U s2,t

SI N D AAA − µ(SI N D AAA) = 0, 00104 3S1,t − 0, 0006 7 8S2,t + εsI N D AAA,t

εlI N D AAA,t = 0, 9 7 55εl

I N D AAA,t−1+ [var = 4 , 19 6 ∗ 10−7]

DBD



SI N D A −−µ(SI N D A−) = 0, 0009 3 8S1,t − 0, 0006 9 0S2,t + εsI N D A−,t

εsI N D A−,t = 0, 9 6 04 εs

I N D A−,t−1+ [var = 2 , 17 5 ∗ 10−7]

SI N D BB − µ(SI N D BB) = 0, 0006 7 5S1,t − 0, 00107 4S2,t + εsI N D BB,t

εlI N D BB,t = 0, 9 8 3 6 εl

I N D BB,t−1+ [var = 9 , 6 59 ∗ 10−7]

SI N D B − µ(SI N D B) = 0, 0002 9 6S1,t − 0, 001510S2,t + εsI N D B,t

εsI N D B,t = 0, 9 12 3 εs

I N D B,t−1+ [var = 3 , 03 1 ∗ 10−7]

F.5

Filtro de K alm an: C orporate e Sovereign Bonds - L evel

L1,t = 0, 9 8 7 5L1,t−1 + U l1,t

L2,t = 0, 9 8 52L2,t−1 + U l2,t

LEUA − µ(LEUA) = 0, 0003 6 7L1,t + 0, 0004 19L2,t + εlEUA,t

εlEUA,t = 0, 9 9 59 εl

EUA,t−1+ [var = 2 , 6 7 2 ∗ 10−7]

LALM − µ(LALM ) = 0, 00019 5L1,t + 0, 000152L2,t + εlALM,t

εlALM,t = 0, 9 9 9 0εl

ALM,t−1+ [var = 4 , 6 6 5 ∗ 10−7]

LBRA − µ(LBRA) = −0, 0008 4 9L1,t + 0, 002 6 4 6L2,t + εlBRA,t

εlBRA,t = 0, 9 9 8 0εl

BRA,t−1+ [var = 2 , 7 03 ∗ 10−5]

LMEX − µ(LMEX) = −0, 0003 7 9L1,t + 0, 00104 6L2,t + εlMEX,t

εlMEX,t = 0, 9 8 57 εl

MEX,t−1+ [var = 2 , 54 5 ∗ 10−6]

LCOL − µ(LCOL) = −0, 0013 6 6L1,t − 0, 0013 15L2,t + εlCOL,t

εlCOL,t = 0, 9 9 52 εl

COL,t−1+ [var = 4 , 6 2 6 ∗ 10−6]

LI N D AAA − µ(LI N D AAA) = 0, 0004 9 4L1,t + 0, 0008 2 4L2,t + εlI N D AAA,t

εlI N D AAA,t = −0, 18 6 3 εl

I N D AAA,t−1+ [var = 1, 3 4 7 ∗ 10−7]

LI N D A −−µ(LI N D A−) = 0, 000505L1,t + 0, 0006 3 5L2,t + εlI N D A−,t

εlI N D A−,t = 0, 019 2 εl

I N D A−,t−1+ [var = 4 , 7 2 4 ∗ 10−6]

LI N D BB − µ(LI N D BB) = 0, 0012 15L1,t + 0, 0006 8 7L2,t + εlI N D BB,t

εlI N D BB,t = −0, 2 9 17 εl

I N D BB,t−1+ [var = 8 , 04 4 ∗ 10−6]

DBD



LI N D B − µ(LI N D B) = 0, 0009 9 1L1,t + 0, 000507L2,t + εlI N D B,t

εlI N D B,t = 0, 4 6 7 0εl

I N D B,t−1+ [var = 1, 8 00 ∗ 10−6]

F.6

Filtro de K alm an: C orporate e Sovereign Bonds - Slope

S1,t = 0, 9 9 15S1,t−1 + US1,t

S2,t = 0, 9 8 8 4S2,t−1 + US2,t

SEUA − µ(SEUA) = 0, 0014 18S1,t + 0, 0003 7 2S2,t + εsEUA,t

εsEUA,t = 0, 9 8 6 2 εs

EUA,t−1+ [var = 3 , 512 ∗ 10−7]

SALM − µ(SALM ) = 0, 0007 6 5S1,t + 0, 0003 7 6S2,t + εsALM,t

εsALM,t = 0, 9 8 8 9 εs

ALM,t−1+ [var = 8 , 3 12 ∗ 10−7]

SBRA − µ(SBRA) = −0, 0004 2 3S1,t − 0, 0057 54S2,t + εsBRA,t

εsBRA,t = 0, 9 8 9 5εs

BRA,t−1+ [var = 7 , 052 ∗ 10−5]

SMEX − µ(SMEX) = 0, 00116 8S1,t − 0, 0008 4 3S2,t + εsMEX,t

εsMEX,t = 0, 9 6 04 εs

MEX,t−1+ [var = 1, 019 ∗ 10−5]

LCOL − µ(SCOL) = 0, 00057 8S1,t − 0, 002 7 3 7S2,t + εsCOL,t

εsCOL,t = 0, 9 8 6 5εs

COL,t−1+ [var = 1, 3 14 ∗ 10−5]

SI N D AAA − µ(SI N D AAA) = 0, 002 02 8S1,t + 0, 0002 3 1S2,t + εsI N D AAA,t

εlI N D AAA,t = −0, 09 8 0εl

I N D AAA,t−1+ [var = 2 , 8 9 8 ∗ 10−7]

SI N D B − µ(SI N D B) = 0, 001513S1,t + 0, 0006 8 1S2,t + εsI N D B,t

εsI N D B,t = 0, 2 4 3 2 εs

I N D B,t−1+ [var = 2 , 02 8 ∗ 10−6]

SI N D BB − µ(SI N D BB) = 0, 0014 3 5S1,t + 0, 0006 19S2,t + εsI N D BB,t

εlI N D BB,t = −0, 3 001εl

I N D BB,t−1+ [var = 2 , 4 8 2 ∗ 10−5]

SI N D A −−µ(SI N D A−) = 0, 0017 17S1,t + 0, 0006 19S2,t + εsI N D A−,t

εsI N D A−,t = 0, 0503 εs

I N D A−,t−1+ [var = 5, 2 8 7 ∗ 10−6]

DBD


referências bibliogr¶aflcas - dbd.puc-rio.br filereferências bibliogr¶aflcas 90 [11] d u ffie...

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