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...
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| Otros Autores: | , , |
| Formato: | Revista |
| Lenguaje: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2011.
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| Colección: | IMF Working Papers; Working Paper ;
No. 2011/113 |
| Acceso en línea: | Full text available on IMF |