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

_IMF Working Papers, May 1, 2011_

## Source details

**Canonical URL:** [On Brazil’s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions](https://www.imf.org/en/publications/wp/issues/2016/12/31/on-brazils-term-structure-stylized-facts-and-analysis-of-macroeconomic-interactions-24856)

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- [Markdown version](/en/publications/wp/issues/2016/12/31/on-brazils-term-structure-stylized-facts-and-analysis-of-macroeconomic-interactions-24856/index.md)
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## Bibliographic details
- Authors: Rodrigo Cabral, Richard Munclinger, Luiz Alves, Marco Rodriguez Waldo
- Published: May 1, 2011
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781455261420.001

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### Summary and Objectives
- Characterizes the term structure of Treasury bond yields for Brazil for the period 2004-2010.
- Estimates a Nelson-Siegel Model to reproduce stylized facts of Brazil’s yield curve.
- Estimates two versions of the Nelson-Siegel Model that incorporate macroeconomic variables to assess dynamic interactions between the yield curve and the macroeconomy.
- Uses a software developed by Fund staff for estimation and analysis.

### Methodology
- Primary model: Nelson-Siegel Model (base specification).
- Extended models: Two versions of the Nelson-Siegel Model augmented with macroeconomic variables (referred to as yield-macro model and model II in keywords).
- Data period: 2004-2010.
- Analytical focus: factor dynamics, curvature of the yield curve, and the data well for yield observations.

### Key Findings and Analytical Focus
- The paper reproduces stylized facts of Brazil’s term structure using the Nelson-Siegel specification.
- The augmented Nelson-Siegel specifications are used to analyze dynamic interactions between yield-curve factors and macroeconomic variables.
- Subject areas explicitly addressed include:
  - Central bank policy rate and target rate
  - Inflation and inflation rate
  - Interest rates and yield curve dynamics
  - Sovereign bonds and yields on bonds
  - Factor models and yield factor dynamics
  - Financial institutions and financial services

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## Content in this bundle

- **Model II-Impulse-Response Functions**
  - [Model II-Impulse-Response Functions (Markdown version)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2011/_wp11113.pdf.md){rel="alternate" type="text/markdown"}
  - [Model II-Impulse-Response Functions (PDF)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2011/_wp11113.pdf){rel="external" type="application/pdf"}

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/on-brazils-term-structure-stylized-facts-and-analysis-of-macroeconomic-interactions-24856_