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Title: Identification of affine term structure models with observed factors : economic shocks on Brazilian yield curves
Other Titles: Discussion Paper 178 : Identification of affine term structure models with observed factors : economic shocks on Brazilian yield curves
Identificação de modelos afins com fatores macroeconômicos observados : choques econômicos sobre as curvas de rendimento do Brasil
Authors: Matsumura, Marco S.
Moreira, Ajax R. B.
Abstract: Propomos diferentes especificações exatamente identificadas de modelos afins com fatores macroeconômicos observados. Foram comparadas estimando os modelos para as curvas de juros domésticas e soberanas brasileiras.
References: http://repositorio.ipea.gov.br/handle/11058/2560
Rights holder: Instituto de Pesquisa Econômica Aplicada (Ipea)
License: Reproduction of this text and the data it contains is allowed as long as the source is cited. Reproductions for commercial purposes are prohibited.
Type: Discussion Paper
Appears in Collections:Economia. Desenvolvimento Econômico: Livros



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