01679cas a2200241 a 4500 AALejournalIMF007013 230101c9999 xx r poo 0 0eng d 5.00 USD 9781455211937 1018-5941 BD-DhAAL BD-DhAAL Munclinger, Richard. Exploration of the Brazilian Term Structure in a Hidden Markov Framework / Richard Munclinger. Washington, D.C. : International Monetary Fund, 2011. 1 online resource (31 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics of the term structure. Two regimes are identified, a high level and a high volatility regime and a low level and low volatility regime. Both regimes are persistent and are explained by the level and the slope of the term structure. The model is estimated using a Bayesian MCM algorithm that produces consistent standard errors and a reliable method for testing the differences between the model parameters. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2011/022 Full text available on IMF http://elibrary.imf.org/view/journals/001/2011/022/001.2011.issue-022-en.xml IMF e-Library