Listagem FGV EESP - Escola de Economia de São Paulo por Título "Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break"

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Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break

Marçal, Emerson Fernandes; Pereira, Pedro L. Valls
2012-09-17

This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are ...