Guillen, Osmani Teixeira De Carvalho; Tabak, Benjamin M. - In: International Journal of Monetary Economics and Finance 2 (2009) 2, pp. 103-114
This paper studies the Brazilian term structure of interest rates and characterises how the term premia have changed over time. We employ a Kalman filter approach, which is extended to take into account regime switches and overlapping forecasts errors. Empirical evidence suggests that term...
