Exploration of the Brazilian term structure in a hidden Markov framework /

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Bibliographic Details
Author / Creator:	Munclinger, Richard, author.
Imprint:	[Washington, D.C.] : International Monetary Fund, [2011], ©2010.
Description:	1 online resource (32 pages)
Language:	English
Series:	IMF working paper ; WP/11/22 IMF working paper ; WP/11/22.
Subject:	Interest rates -- Brazil -- Econometric models. Bonds -- Brazil -- Econometric models. Markov processes. Bonds -- Econometric models. Interest rates -- Econometric models. Markov processes. Brazil.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12498990

Hidden Bibliographic Details
Other authors / contributors:	International Monetary Fund. Monetary and Capital Markets Department, issuing body.
ISBN:	128355481X 9781283554817 9781455278084 1455278084
Notes:	Includes bibliographical references.
Summary:	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.

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