Browsing FGV EESP - Textos para Discussão / Working Paper Series by Title "Economic cycles and term structure: application to Brazil"

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    • Economic cycles and term structure: application to Brazil 

      Ribeiro, Priscila Fernandes; Pereira, Pedro L. Valls
      2010-06-29
      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 ...