On Brazil’s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions
May 1, 2011
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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.
Subject: Central bank policy rate, Econometric analysis, Factor models, Financial institutions, Financial services, Inflation, Prices, Sovereign bonds, Yield curve
Keywords: Brazil, Central bank policy rate, curvature of the yield curve, data well, factor dynamics, Factor models, Inflation, inflation rate, inflation variable, interest rates, model II, Nelson-Siegel yield base model, Sovereign bonds, target rate, Term structure models of interest rates, WP, Yield curve, yield curve dynamics, yield curve factor, yield data well, yield dynamics, yield factor, yield-macro model, yields on bonds
Pages:
33
Volume:
2011
DOI:
Issue:
113
Series:
Working Paper No. 2011/113
Stock No:
WPIEA2011113
ISBN:
9781455261420
ISSN:
1018-5941
