Identification of Affine Term Structure Models With Observed Factors: Economic Shocks on Brazilian Yield Curves
We propose different exactly identified specifications of affine models with observed macri factors. The models are compared estimating Brazilian domestic and sovereign yield curves.
Year of publication: |
2007-04
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Authors: | Matsumura, Marco S. ; Moreira, Ajax R. B. |
Institutions: | Instituto de Pesquisa Econômica Aplicada (IPEA), Government of Brazil |
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