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

Stylized Facts and Analysis of Macroeconomic Interactions

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

Publication date: May 2011
ISBN 9781455261420
$18.00

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