Exploration of the Brazilian Term Structure in a Hidden Markov Framework

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Price:  $18.00

Author/Editor: Richard Munclinger
Release Date: © January, 2011
ISBN : 978-1-45521-193-7
Stock #: WPIEA2011022
Stock Status: On back-order

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We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model''s characteristics and its performance in describing the cross-sectional and time-series dynamics of the term structure. Two regimes are identified, a high level and a high volatility regime and a low level and low volatility regime. Both regimes are persistent and are explained by the level and the slope of the term structure. The model is estimated using a Bayesian MCM algorithm that produces consistent standard errors and a reliable method for testing the differences between the model parameters.

More publications in this series: Working Papers

More publications by: Richard Munclinger