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|z 9781455211937
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Munclinger, Richard.
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|a Exploration of the Brazilian Term Structure in a Hidden Markov Framework /
|c Richard Munclinger.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2011.
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|a 1 online resource (31 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2011/022
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2011/022/001.2011.issue-022-en.xml
|z IMF e-Library
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