Título: | THE RELATIONSHIP BETWEEN ESTIMATED COMMON FACTORS FROM YIELD CURVES OF DIFFERENT MARKETS | ||||||||||||||||||||||||||||||||||||
Autor: |
ANA TEREZA VASCONCELLOS E PESSOA |
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Colaborador(es): |
LUCIANO VEREDA OLIVEIRA - Orientador |
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Catalogação: | 09/FEV/2018 | Língua(s): | PORTUGUESE - BRAZIL |
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Tipo: | TEXT | Subtipo: | THESIS | ||||||||||||||||||||||||||||||||||
Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
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Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=32989&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=32989&idi=2 |
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DOI: | https://doi.org/10.17771/PUCRio.acad.32989 | ||||||||||||||||||||||||||||||||||||
Resumo: | |||||||||||||||||||||||||||||||||||||
The study of the influence of common factors in the determination of equilibrium prices of all kinds of financial assets, especially fixed return assets, has received a lot of attention from Macroeconomics and Finance literature. Most recently, Diebold, Li and Yue (2008) have shown that factors that govern the dynamics of the yield curve of the Treasuries issued by the American, German, Japanese and British Governments are partially determined by global influence, that is, that affect simultaneously factors in these countries. The purpose of this work is to show that this phenomena is still observed when we add emerging countries to the sample (more specifically, Brazil, Mexico and Colombia), when we analyze the corporate bond markets for companies with different risk levels in three sectors of the economy and when we work with mixed data, that is, of companies and countries. The main contribution of this paper is to extend the results obtained by Diebold, Li and Yue (2008) to a wider sample of assets and identify a new range of common factors that were not present in the analysis of these authors.
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