On Brazilâ€™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.

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Year of publication:	2011-05-01
Authors:	Cabral, Rodrigo ; Munclinger, Richard ; Alves, Luiz ; Waldo, Marco Rodriguez
Institutions:	International Monetary Fund (IMF)
Subject:	Brazil \| Economic models \| Interest rate structures \| Public debt \| 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 structure \| econometrics \| government bond \| government bond yields \| zero coupon bonds \| bond prices \| discount bond \| reserve requirements \| financial assets \| statistical techniques \| bootstrap \| stochastic process \| cash flow \| samples \| nominal bonds \| stock index \| zero-coupon bonds \| covariance \| estimation procedure \| computation \| treasury bond yields \| discount bonds \| inflation linked bonds \| number of parameters \| bond rates \| time series \| sampling \| maximum likelihood estimation \| financial markets \| covariances \| coupon bond \| bond returns \| bond price \| number of variables \| sample bias \| treasury bond \| bond market

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Extent:	application/pdf
Series:	IMF Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series IMF Working Papers Number 11/113 3 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009147330