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319.650  Articles
1 of 31.965 pages  |  10  records  |  more records»
This article aims to investigate the relationship between the term structure of interest rates and macroeconomic factors in selected countries of Latin America, such as Brazil, Chile and Mexico, between 2006 and 2014, on an autoregressive vector model. Sp... see more

The risk premium in the Brazilian term structure of interest rates is partially driven by some specific defensive behavior following past monetary decisions. Until 2008, the Brazilian Central Bank has primarily dealt with domestic and external crises by r... see more

This paper attempts to provide an economic interpretation of the factors thatdrive the movements of interest rates of bonds of different maturities in acontinuous-time no-arbitrage term structure model for Chile. The dynamics ofyields in the model are exp... see more

The focus of the paper is to present a new methodology for forecasting the Term Structure of Interest Rates (ETTJ). The objective is to answer the question: given the ETTJ curve at any given time, what is the ETTJ at a future date? Thus, we seek to constr... see more

This article deals with a model for the term structure of interest rates and the valuation of derivative contracts directly dependent on it. The work is of a theoretical nature and deals, exclusively, with continuous time models, making ample use of stoch... see more

We test the Expectations Hypothesis (EH) plus Rational Expectations (RE) in the Brazilian term-structure of interest rates, using maturities ranging from 1 month to 12 months, and daily data from 1995 to 2000. We rely on two methodologies based on single-... see more

A number of empirical studies have investigated the impact of the federal Government budget deficit on interest rates in the US with most of them concluding that it is positive and significant on long-term interest rates. Both the IS/LM and the loanable f... see more

This paper evaluates methods that employ Kalman Filter to estimate Diebold and Li (2006) extensions in a state-space representation, applying the Nelson and Siegel (1987) function as measure equation and different specifications for the transition equatio... see more

Central bank decisions have an impact on the whole economy. Increasing or lowering interest rates as part of a specific policy determines not only changes in macroeconomic aggregates or decisions of financial entities, such as banks, but also has a s... see more

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