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.

MoreLess

Year of publication:	2015
Authors:	Matsumura, Marco Shinobu ; Moreira, Ajax Reynaldo Bello
Publisher:	Brasília : Institute for Applied Economic Research (ipea)

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Series:	Discussion Paper ; 178
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1671882822 [GVK] hdl:10419/220266 [Handle] RePEc:ipe:ipetds:0178 [RePEc]
Classification:	C13 - Estimation ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; G12 - Asset Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10012234190