{
  "title": "Exploration of the Brazilian Term Structure in a Hidden Markov Framework",
  "publication": "IMF Working Papers, January 1, 2011",
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  "summary": "We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics of the term structure.",
  "sections": [
    {
      "heading": "Summary and key findings",
      "content": "- Application: A hidden Markov model of the term structure to modeling the Brazilian swap rate curve.\n- Main empirical findings:\n  - Two regimes are identified: a high level and a high volatility regime and a low level and low volatility regime.\n  - Both regimes are persistent.\n  - Regime dynamics are explained by the level and the slope of the term structure.\n- Purpose: Examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics of the term structure."
    },
    {
      "heading": "Model specification and methodology",
      "content": "- Model class: Hidden Markov model applied to the term structure (affine regime, ATSM).\n- State dynamics: Markov chain / Markov-switching models governing regime transitions.\n- Drivers emphasized: level, slope, mean reversion, volatility regime, market price considerations.\n- Estimation approach:\n  - Bayesian MCMC algorithm.\n  - Produces consistent standard errors.\n  - Provides a reliable method for testing the differences between the model parameters."
    },
    {
      "heading": "Data scope and thematic classification",
      "content": "- Subject areas: Econometric analysis, Financial regulation and supervision, Financial services, Inflation, Market risk, Markov-switching models, Prices, Time series analysis, Yield curve.\n- Keywords: affine regime, ATSM, Brazil, Hidden Markov Models, Inflation, market price, Market risk, Markov chain, Markov-switching models, MCMC, mean reversion, State process, state transition, Term Structure, time series, Time series analysis, volatility regime, WP, Yield curve."
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      "content": "- Author: Richard Munclinger\n- Publication date: January 1, 2011\n- Series: Working Paper No. 2011/022\n- Issue: 022\n- Volume: 2011\n- Pages: 31\n- DOI: https://doi.org/10.5089/9781455211937.001\n- ISBN: 9781455211937\n- ISSN: 1018-5941\n- Stock No: WPIEA2011022\n\nIMF Working Paper — \"Exploration of the Brazilian Term Structure in a Hidden Markov Framework\" (Richard Munclinger, January 1, 2011).\n\n---\n\n Content in this bundle\n\n- wp1122\n  - wp1122 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp1122 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/exploration-of-the-brazilian-term-structure-in-a-hidden-markov-framework-24604"
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    "Authors: Richard Munclinger",
    "Published: January 1, 2011",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781455211937.001",
    "Application: A hidden Markov model of the term structure to modeling the Brazilian swap rate curve.",
    "Main empirical findings:",
    "Purpose: Examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics of the term structure.",
    "Model class: Hidden Markov model applied to the term structure (affine regime, ATSM).",
    "State dynamics: Markov chain / Markov-switching models governing regime transitions.",
    "Drivers emphasized: level, slope, mean reversion, volatility regime, market price considerations.",
    "Estimation approach:",
    "Subject areas: Econometric analysis, Financial regulation and supervision, Financial services, Inflation, Market risk, Markov-switching models, Prices, Time series analysis, Yield curve.",
    "Keywords: affine regime, ATSM, Brazil, Hidden Markov Models, Inflation, market price, Market risk, Markov chain, Markov-switching models, MCMC, mean reversion, State process, state transition, Term Structure, time series, Time series analysis, volatility regime, WP, Yield curve.",
    "Author: Richard Munclinger",
    "Publication date: January 1, 2011",
    "Series: Working Paper No. 2011/022",
    "Issue: 022",
    "Volume: 2011",
    "Pages: 31",
    "DOI: https://doi.org/10.5089/9781455211937.001",
    "ISBN: 9781455211937",
    "ISSN: 1018-5941",
    "Stock No: WPIEA2011022",
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