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 Nelson-Siegel Model that incorporates macroeconomic variables with the aim of assessing the dynamic interactions between the yield curve and the macroeconomy.
Publication date: May 2011
ISBN: 9781455261420
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Economics- Macroeconomics , Economics / General , International - Economics , bonds , bond , statistics , government bonds , descriptive statistics , standard errors , forecasting , equation , bond yields , coupon bonds , survey , correlation , standard deviations , treasury bonds , financial institutions , correlations , equations , yields on bonds , financial struc

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