Exploration of the Brazilian Term Structure in a Hidden Markov Framework
Download or Read eBook Exploration of the Brazilian Term Structure in a Hidden Markov Framework PDF written by Mr.Richard Munclinger and published by International Monetary Fund. This book was released on 2011-01-01 with total page 33 pages. Available in PDF, EPUB and Kindle.
| Author | : Mr.Richard Munclinger |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2011-01-01 |
| ISBN-10 | : 9781455211937 |
| ISBN-13 | : 1455211931 |
| Rating | : 4/5 (37 Downloads) |
Book Synopsis Exploration of the Brazilian Term Structure in a Hidden Markov Framework by : Mr.Richard Munclinger
Book excerpt: 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.
