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

Rodrigo Cabral, Richard Munclinger, Luiz Alves and Marco Rodriguez Waldo

No 2011/113, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; yield curve factor; yield curve dynamics; Term structure models of interest rates; interest rates; yields on bonds; Brazil; yield-macro model; data well; yield factor; inflation variable; yield data well; Nelson-Siegel yield base model; factor dynamics; model II; curvature of the yield curve; target rate; inflation rate; yield dynamics; Yield curve; Central bank policy rate; Inflation; Sovereign bonds; Factor models (search for similar items in EconPapers)
Pages: 33
Date: 2011-05-01
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2011/113

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