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 Nel...
| Autor Principal: | |
|---|---|
| Outros autores: | , , |
| Formato: | Revista |
| Idioma: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2011.
|
| Series: | IMF Working Papers; Working Paper ;
No. 2011/113 |
| Acceso en liña: | Full text available on IMF |
| Summary: | 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. |
|---|---|
| descrición da copia: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| Descrición Física: | 1 online resource (33 pages) |
| Formato: | Mode of access: Internet |
| ISSN: | 1018-5941 |
| Acceso: | Electronic access restricted to authorized BRAC University faculty, staff and students |