Recent macro-finance papers have documented the importance of adding information from macro variables in order to improve out-of-sample forecasting performance of bond yields. This paper aims at investigating the reasons for this success. We use Diebold and Li’s dynamic version of the Nelson...

In this article, we formulate linear Gaussian state space models for the estimation of the exchange rate pass-through of the Brazilian Real against the US Dollar, using monthly data from August 1999 to August 2008. The state space/Kalman filtering framework allows the investigation of some...

This paper deals with linear state space modelling subject to general linear constraints on the state vector. The discussion concentrates on four topics: the constrained Kalman filtering versus the recursive restricted least squares estimator; a new proof of the constrained Kalman filtering...