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

Author/Editor:

Rodrigo Cabral ; Richard Munclinger ; Luiz Alves ; Marco Rodriguez Waldo

Publication Date:

May 1, 2011

Electronic Access:

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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. 2011/113

Subject:

Central bank policy rate Econometric analysis Factor models Financial institutions Financial services Inflation Prices Sovereign bonds Yield curve

English

Publication Date:

May 1, 2011

ISBN/ISSN:

9781455261420/1018-5941

Stock No:

WPIEA2011113

Pages:

33

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