Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/220263 
Year of Publication: 
2015
Series/Report no.: 
Discussion Paper No. 174
Publisher: 
Institute for Applied Economic Research (ipea), Brasília
Abstract: 
The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages and disadvantages, and it is an empirical matter to evaluate the performance of the approaches. This exercise compares 4 alternative models for the term structure using 3 different markets: the Brazilian domestic and sovereign market and the US market.
JEL: 
C13
C32
C53
E43
E44
E47
G12
G13
Document Type: 
Working Paper

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