On Brazil’s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions

WPIEA2011113 Image
Price:  $18.00

Author/Editor: Marco Rodriguez Waldo, Luiz Alves, Rodrigo Cabral, Richard Munclinger
Release Date: © May, 2011
ISBN : 978-1-45526-142-0
Stock #: WPIEA2011113
English
Stock Status: On back-order

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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: Marco Rodriguez Waldo ; Luiz Alves ; Rodrigo Cabral ; Richard Munclinger