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Characterizing The Brazilian Termstructure Of Interest Rates In A Cointegrated Var Model

  • OSMANI TEIXEIRA DE CARVALHO GUILLEN

    (BCB)

  • JOSÉ VALENTIM MACHADO VICENTE

    (BCB)

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File URL: http://www.anpec.org.br/encontro2010/inscricao/arquivos/000-66c53021ce6969ebaf71743b4a8e1a44.pdf
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Paper provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its series Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] with number 041.

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Date of creation: 2011
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Handle: RePEc:anp:en2010:041
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  1. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997. "On biases in tests of the expectations hypothesis of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 44(3), pages 309-348, June.
  2. repec:dgr:kubcen:199707 is not listed on IDEAS
  3. Hansen, Bruce E., 1992. "Heteroskedastic cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 139-158.
  4. Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics Discussion Papers 2008-13, Kiel Institute for the World Economy.
  5. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  6. Proietti, Tommaso, 1997. "Short-Run Dynamics in Cointegrated Systems," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(3), pages 405-22, August.
  7. Lima, Alexandre Maia Correia & Issler, João Victor, 2003. "A hipótese das expectativas na estrutura a termo de juros no Brasil: Uma aplicação de modelos de valor presente," Economics Working Papers (Ensaios Economicos da EPGE) 480, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
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