01683cas a2200277 a 4500 AALejournalIMF007184 230101c9999 xx r poo 0 0eng d 5.00 USD 9781455261420 1018-5941 BD-DhAAL BD-DhAAL Cabral, Rodrigo. On Brazil's Term Structure : Stylized Facts and Analysis of Macroeconomic Interactions / Rodrigo Cabral, Richard Munclinger, Luiz Alves, Marco Rodriguez Waldo. Washington, D.C. : International Monetary Fund, 2011. 1 online resource (33 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 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. Mode of access: Internet Alves, Luiz. Munclinger, Richard. Rodriguez Waldo, Marco. IMF Working Papers; Working Paper ; No. 2011/113 Full text available on IMF http://elibrary.imf.org/view/journals/001/2011/113/001.2011.issue-113-en.xml IMF e-Library