On Brazil’s Term Structure Stylized Facts and Analysis of Macroeconomic Interactions
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 Nel...
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Other Authors: | , , |
Format: | eBook |
Language: | English |
Published: |
Washington, D.C.
International Monetary Fund
2011
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Series: | IMF Working Papers
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Subjects: | |
Online Access: | |
Collection: | International Monetary Fund - Collection details see MPG.ReNa |
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 |
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Physical Description: | 33 pages |
ISBN: | 9781455261420 |