On Brazil’s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions

Author/Editor: Alves, Luiz ; Cabral, Rodrigo ; Munclinger, Richard ; Rodriguez Waldo, Marco
Publication Date: May 01, 2011
Electronic Access: Free Full text (PDF file size is 3,391KB).
Use the free Adobe Acrobat Reader to view this PDF file

Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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.
Series: Working Paper No. 11/113
Subject(s): Bonds | Brazil | Economic models | Interest rate structures | Interest rates | Public debt

Author's Keyword(s): Term structure models of interest rates | interest rates | yields on bonds | Brazil.
Publication Date: May 01, 2011
Format: Paper
Stock No: WPIEA2011113 Pages: 33
US$18.00 (Academic Rate:
US$18.00 )
Please address any questions about this title to publications@imf.org