Identification of affine term structure models with observed factors : economic shocks on Brazilian yield curves
Marco S. Matsumura, Ajax R.B. Moreira
| Year of publication: |
January 2015
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|---|---|
| Authors: | Matsumura, Marco Shinobu ; Moreira, Ajax |
| Publisher: |
Brasília, DF, Brazil : Ipea, Institute for Applied Economic Research |
| Subject: | Zinsstruktur | Yield curve | Brasilien | Brazil | Schock | Shock |
| Description of contents: |
We propose different exactly identified specifications of affine models with observed macri factors. The models are compared estimating Brazilian domestic and sovereign yield curves.
|
freely available
| Extent: | 1 Online-Ressource (circa 42 Seiten) Illustrationen |
|---|---|
| Series: | Discussion paper. - Brasília : [Verlag nicht ermittelbar], ZDB-ID 2933902-9. - Vol. 178 (January 2015) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Notes: | Zusammenfassung in portugiesischer Sprache |
| Other identifiers: | hdl:10419/220266 [Handle] |
| Classification: | C13 - Estimation ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; G12 - Asset Pricing |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012053317