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

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Year of publication:	2011
Authors:	Rodriguez Waldo, Marco
Other Persons:	Munclinger, Richard (contributor) ; Alves, Luiz (contributor) ; Cabral, Rodrigo Silveira Veiga (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Brasilien \| Brazil \| Zinsstruktur \| Yield curve

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