دانلود رایگان مقاله سازه رابط برای تعیین ساختار وابستگی بازده اوراق قرضه خزانه داری

Abstract

We estimated the dependence structure of US Treasury bonds through a pair copula construction. As a result, we verified that the variability of the yields decreases with a longer time of maturity of the bond. The yields presented strong dependence with past values, strongly positive bivariate associations between the daily variations, and prevalence of the Student's t copula in the relationships between the bonds. Furthermore, in tail associations, we identified relevant values in most of the relationships, which highlights the importance of risk management in the context of bonds diversification.

Conclusion

This paper aimed to estimate the dependence structure between Treasury bonds through a PCC. To that effect, we used data from the US government Treasury bonds for 1-, 2-, 3-, 5-, 7- and 10-years of maturity. Initially we verified that the daily yields presented a common evolution along the sample. This long term equilibrium reflects the influence of the monetary policy (see work of Chordia et al., 2005). In that sense, there were falls in the yield rates during periods of economic turbulence, which were intrinsically linked with the attempt of the government to promote the economy through an expansionist monetary policy with low interest rates. Further, we realised that the variability of the yields decreases with the time taken for maturity of the bond, con- firming the fact that the bonds with less maturity time were more sensitive to economic turbulences. Moreover, the yields presented strong dependence with past values, as emphasised by the results of the marginal models. With the residuals of the marginal models, which are isolated from the marginal distribution, we found that all the bivariate associations between the daily variations of the yields were strongly positive and with associations in the tails.