Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial

Felipe Pinheiro, Caio Almeida () and José Valentim Vicente

No 148, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: Recently, a myriad of factor models including macroeconomic variables have been proposed to analyze the yield curve. We present an alternative factor model where term structure movements are captured by Legendre polynomials mimicking the statistical factor movements identified by Litterman and Scheinkman (1991). We estimate the model with Brazilian Foreign Exchange Coupon data, adopting a Kalman filter, under two versions: the first uses only latent factors and the second includes macroeconomic variables. We study its ability to predict out-of-sample term structure movements, when compared to a random walk. We also discuss results on the impulse response function of macroeconomic variables.

Date: 2007-10
New Economics Papers: this item is included in nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps148.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:148

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().