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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
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.
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Appears in Collections:Textos para Discussão do Tesouro Nacional

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