Emerging Markets Yield Curve Dynamics

AUTOR(ES)

Morita, Rubens Hossamu

DATA DE PUBLICAÇÃO

18/12/2007

RESUMO

This work extendes Diebold, Li and Yue's (2006) about global yield curve and proposes to extend the study by including emerging countries. The perception of emerging market suffers influence of external factors or global factors, is the main argument of this work. We expect to obtain stylized facts, that obey similar pattern found by those authors. The results indicate the existence of global level and global slope factors. These factors represent an important fraction in the bond yield determination and show a decreasing trend of the global level factor low influence of global slope factor in these countries when they are compared with developed countries.

ASSUNTO(S)

emerging markets and bond kalman filter yield curve

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