Identification of Affine Term Structure Models With Observed Factors: Economic Shocks on Brazilian Yield Curves
AbstractWe propose different exactly identified specifications of affine models with observed macri factors. The models are compared estimating Brazilian domestic and sovereign yield curves.
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Bibliographic InfoPaper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1271.
Length: 37 pages
Date of creation: Apr 2007
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