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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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Bibliographic Details
Main Author: Cabral, Rodrigo
Other Authors: Munclinger, Richard, Alves, Luiz, Rodriguez Waldo, Marco
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2011
Series:IMF Working Papers
Subjects:
Interest Rates
Inflation
Sovereign Bonds
Factor Models
Finance
Econometric Analysis
Financial Institutions
Financial Services
Deflation
General Financial Markets: General (includes Measurement And Data)
Investments: Bonds
Yield Curve
Principal Components
Price Level
Cluster Analysis
Bonds
Econometric Models
Banks And Banking
Financial Markets And The Macroeconomy
Prices
Macroeconomics
Banking
Interest Rates: Determination, Term Structure, And Effects
Central Banks And Their Policies
Econometrics
Investment & Securities
Econometrics & Economic Statistics
Classification Methods
Central Bank Policy Rate
Brazil
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
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
Physical Description:33 pages
ISBN:9781455261420

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