On Brazil’s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions
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Summary:
This paper characterizes the term structure of Treasury bond yields for Brazil, and estimates a Nelson-Siegel Model to reproduce its stylized facts for the period 2004-2010. For this purpose, this paper uses a software developed by Fund staff. In addition, the paper estimates two versions of the Nelson-Siegel Model that incorporates macroeconomic variables with the aim of assessing the dynamic interactions between the yield curve and the macroeconomy.
Series:
Working Paper No. 2011/113
Subject:
Central bank policy rate Econometric analysis Factor models Financial institutions Financial services Inflation Prices Sovereign bonds Yield curve
English
Publication Date:
May 1, 2011
ISBN/ISSN:
9781455261420/1018-5941
Stock No:
WPIEA2011113
Pages:
33
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