On Brazil's Term Structure : Stylized Facts and Analysis of Macroeconomic Interactions
Author/Editor: Rodrigo Cabral, Richard Munclinger, Luiz Alves, Marco Rodriguez Waldo
Release Date: © May, 2011
ISBN
: 978-1-46238-086-2
Stock #: WPIEM2011113
English
Languages and formats available
| English | French | Spanish | Arabic | Russian | Chinese | Portuguese | |
| Paperback | Yes | ||||||
| ePub | Yes | ||||||
| Mobipocket | Yes |
Description
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.
More publications in this series: Working Papers
More publications by: Rodrigo Cabral ; Richard Munclinger ; Luiz Alves ; Marco Rodriguez Waldo
