Term structure dynamics and no-arbitrage under the taylor rule
AUTOR(ES)
Inhasz, Juliana
DATA DE PUBLICAÇÃO
18/08/2009
RESUMO
The term structure interest rate determination is one of the main subjects of the financial assets management. Considering the great importance of the financial assets for the economic policies conduction it is basic to understand structure is determined. The main purpose of this study is to estimate the term structure of Brazilian interest rates together with short term interest rate. The term structure will be modeled based on a model with an affine structure. The estimation was made considering the inclusion of three latent factors and two macroeconomic variables, through the Bayesian technique of the Monte Carlo Markov Chain (MCMC).
ASSUNTO(S)
term structure interest rate latent factors monte carlo markov chain (mcmc)
ACESSO AO ARTIGO
http://hdl.handle.net/10438/4253Documentos Relacionados
- The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model
- Regra de Taylor e a resposta da taxa de juros à inflação no Brasil
- A Regra de Taylor e a Recente PolÃtica MonetÃria Brasileira
- Iron oxides dynamics in a subtropical Brazilian Paleudult under long-term no-tillage management
- CHANGES IN THE SOIL STRUCTURE AND ORGANIC MATTER DYNAMICS UNDER DIFFERENT PLANT COVERS
