Flexibilizando os Modelos de Estrutura a Termo da Classe Nelson-Siegel

This paper compares the interpolation abilities of nonparametric andparametric term structure models which are widely used by the main CentralBanks of the world. Seeking the combination of smoothness and flexibility, anew Nelson-Siegel class model is introduced. It emerges as an extension ofthe Svensson (1994) and the five factor model proposed by De Rezende andFerreira (2008) and Christensen, Diebold and Rudebusch (2008). It is shownthe superiority of the smoothing spline model in interpolating the spot andforward rates as well as the advantage of the proposed model over the otherNelson-Siegel models. The superiority of the smoothing spline, however,comes with a cost: its instability in fitting the initial vertices of theterm structure. The proposed model, on the other hand, exhibits thedesirable properties of smoothness and flexibility, especially for theforward rates and the spot rates of medium and long terms.