Exploration of the Brazilian Term Structure in a Hidden Markov Framework

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.
Publication date: January 2011
ISBN: 9781455211937
$18.00
Add to Cart by clicking price of the language and format you'd like to purchase
Available Languages and Formats
Paperback
ePub
Mobi
English
Prices in red indicate formats that are not yet available but are forthcoming.
Topics covered in this book

This title contains information about the following subjects. Click on a subject if you would like to see other titles with the same subjects.

Economics- Macroeconomics , Economics / General , International - Economics , parameters , probability , forecasting , covariance , statistics , markov process , markov chain , probabilities , time series , number of parameters , samples , equations , explanatory power , significance level , heteroscedasticity , standard errors , parameter vector , random walk , rand

Summary