[en] A MACRO-FINANCE MODEL FOR THE BRAZILIAN YIELD CURVE

[en] A MACRO-FINANCE MODEL FOR THE BRAZILIAN YIELD CURVE

[pt] Neste trabalho, eu busco replicar o modelo somente com taxas de juros ex-posto em Rudebusch e Wu (2004) para a Estrutura a Termo de Taxa de Juros no Brasil, visando extrair dois fatores latentes que expliquem a curva de juros brasi-leira. O modelo faz parte da família dos modelos afins de estru...

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Bibliographic Details
Main Author:	FELIPE RODRIGO GOMES S DE OLIVEIRA
Other Authors:	PABLO HECTOR SEUANEZ SALGADO
Language:	pt
Published:	MAXWELL 2018
Subjects:	[pt] CURVA DE JUROS [en] INTEREST RATE CURVE [pt] PREMIO DE RISCO [en] EQUITY RISK PREMIUM [pt] MODELO AFIM DE ESTRUTURA A TERMO DE TAXA DE JUROS [en] AFFINE TERM STRUCUTURE MODEL
Online Access:	https://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33212@1 https://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33212@2 http://doi.org/10.17771/PUCRio.acad.33212

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