Economic cycles and term structure: application to Brazil
| dc.contributor.author | Ribeiro, Priscila Fernandes | |
| dc.contributor.author | Pereira, Pedro L. Valls | |
| dc.contributor.unidadefgv | Escolas::EESP | por |
| dc.date.accessioned | 2010-06-29T15:42:45Z | |
| dc.date.available | 2010-06-29T15:42:45Z | |
| dc.date.issued | 2010-06-29 | |
| dc.description.abstract | 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 | eng |
| dc.identifier.uri | https://hdl.handle.net/10438/6858 | |
| dc.language.iso | eng | |
| dc.relation.ispartofseries | Textos para discussão - EESP ; 259 | por |
| dc.rights.accessRights | openAccess | eng |
| dc.subject | Dynamic Nelson & Siegel | eng |
| dc.subject | Term structure of interest rate | eng |
| dc.subject | Business cycles | eng |
| dc.subject | Kalman filter | eng |
| dc.subject | Markovian switching | eng |
| dc.subject.area | Economia | por |
| dc.subject.bibliodata | Economia | por |
| dc.subject.bibliodata | Ciclos econômicos - Brasil | por |
| dc.subject.bibliodata | Taxas de juros | por |
| dc.subject.bibliodata | Kalman, Filtragem de | por |
| dc.title | Economic cycles and term structure: application to Brazil | eng |
| dc.type | Working Paper | eng |