Modelo Fatorial Linear Macroeconômico de Estrutura a Termo da Taxa de Juros: Aplicação Para a Economia Brasileira

Marcos Antonio Coutinho da Silveira

No 1097, Discussion Papers from Instituto de Pesquisa Econômica Aplicada - IPEA

Abstract: The work develops a macroeconomic factor term structure model of interest rate inwhich the state-variables dynamics is given by the reduced form of a new-keynesianstructural model for a small open economy, like the Brazilian one. The model is used to identify the macroeconomic determinants of the Brazilian term structure after theintroduction of the inflation target regime.

Pages: 53 pages
Date: 2005-06
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Persistent link: https://EconPapers.repec.org/RePEc:ipe:ipetds:1097

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