Nonlinearities in the Brazilian Yield Curve: before and during the global crisis
This article investigates the effect of macroeconomic conditions on the term structure represented by the spreads of 1, 5 and 10 year term bonds; the database used contains monthly data for the period August 1997 to September 2011. The results …
More ›
Read the abstract and download the paper ›
Read the comments ›
No comments