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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Autores principales:	José Carlos Nogueira Cavalcante Filho, Edson Daniel Lopes Gonçalves
Formato:	article
Lenguaje:	EN PT
Publicado:	FUCAPE Business School 2015
Materias:	stochastic process broadcasts selic rate poiss on jumps fixed income jel classification codes c13 c22 g14 Business HF5001-6182
Acceso en línea:	https://doaj.org/article/1aad586942c647ea9288e899fea03512
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spelling	oai:doaj.org-article:1aad586942c647ea9288e899fea035122021-11-11T15:48:06ZJump Diffusion Modelling for the Brazilian Short-Term Interest Rate1807-734Xhttps://doaj.org/article/1aad586942c647ea9288e899fea035122015-01-01T00:00:00Zhttp://www.redalyc.org/articulo.oa?id=123035864004https://doaj.org/toc/1807-734XIn 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.José Carlos Nogueira Cavalcante FilhoEdson Daniel Lopes GonçalvesFUCAPE Business Schoolarticlestochastic processbroadcastsselic ratepoiss on jumpsfixed incomejel classification codesc13c22g14BusinessHF5001-6182ENPTBBR: Brazilian Business Review, Vol 12, Iss 1, Pp 80-103 (2015)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	stochastic process broadcasts selic rate poiss on jumps fixed income jel classification codes c13 c22 g14 Business HF5001-6182
spellingShingle	stochastic process broadcasts selic rate poiss on jumps fixed income jel classification codes c13 c22 g14 Business HF5001-6182 José Carlos Nogueira Cavalcante Filho Edson Daniel Lopes Gonçalves Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate
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
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
title	Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate
title_short	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_sort	jump diffusion modelling for the brazilian short-term interest rate
publisher	FUCAPE Business School
publishDate	2015
url	https://doaj.org/article/1aad586942c647ea9288e899fea03512
work_keys_str_mv	AT josecarlosnogueiracavalcantefilho jumpdiffusionmodellingforthebrazilianshortterminterestrate AT edsondaniellopesgoncalves jumpdiffusionmodellingforthebrazilianshortterminterestrate
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Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate

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