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http://bibliotecadigital.economia.gov.br/handle/123456789/524448
Title: | Texto para discussão n. 04: nn Brazil’s term structure: stylized facts and analysis of macroeconomic interactions |
Keywords: | macroeconomia finanças públicas curva a termo macroeconomy public finances yield curve |
Issue Date: | 2012 |
Publisher: | Secretaria do Tesouro Nacional (STN) |
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. |
URI: | http://bibliotecadigital.economia.gov.br/handle/123456789/524448 |
Other Identifiers: | http://repositorio.enap.gov.br/handle/1/4265 |
Appears in Collections: | Textos para Discussão do Tesouro Nacional |
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