Economic cycles and term structure : application to Brazil
AUTOR(ES)
Fernandes Ribeiro, Priscila
DATA DE PUBLICAÇÃO
29/06/2010
RESUMO
The objective of this work is to describe the behavior of the economic cycle in Brazil through Markov processes which can jointly model the slope factor of the yield curve, obtained by the estimation of the Nelson-Siegel Dynamic Model by the Kalman filter and a proxy variable for economic performance, providing some forecasting measure for economic cycles
ASSUNTO(S)
ACESSO AO ARTIGO
http://hdl.handle.net/10438/6858Documentos Relacionados
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