Constructing the yield curve for Brazilian debentures using Nelson-Siegel parameterization

Authors

  • Vinícius Gomes Araújo IBMEC
  • Claudio Henrique da Silveira Barbedo Banco Central
  • José Valentim Machado Vicente Banco Central

DOI:

https://doi.org/10.5700/rausp1076

Keywords:

yield curve, corporate bonds, Nelson-Siegel model, spread

Abstract

The aim of this work is to establish a term structure of interest rates for corporate bonds in the Brazilian market, using the Nelson-Siegel model (1987). The yield curves were divided by the type of index and the rating level. It was possible to measure the spread between the corporate bonds market and the government bonds market.

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Published

2013-03-01

Issue

Vol. 48 No. 1 (2013)

Section

Finance & Accounting

How to Cite

Constructing the yield curve for Brazilian debentures using Nelson-Siegel parameterization . (2013). Revista De Administração, 48(1), 98-113. https://doi.org/10.5700/rausp1076