Identification of Affine Term Structure Models with Observed Factors: Economic Shocks on Brazilian Yield Curves

Marco Matsumura and Ajax Moreira

No 178, Discussion Papers from Instituto de Pesquisa Econômica Aplicada - IPEA

Abstract: We propose different exactly identified specifications of affine models with observed macri factors. The models are compared estimating Brazilian domestic and sovereign yield curves. Propomos diferentes especificações exatamente identificadas de modelos afins com fatores macroeconômicos observados. Foram comparadas estimando os modelos para as curvas de juros domésticas e soberanas brasileiras.

Pages: 42 pages
Date: 2015-01
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:ipe:ipetds:0178

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