Centro de Finanças e Macroeconomia
Decomposition of Term Structure of Interest Rates in Brazil
Authors: Guilherme Souza e Igor Martins
Following Adrian, Crump, and Moech (2013)¹, we decompose treasury yields into two components:
We provide estimates from 2004 to 2022 for maturities ranging from 1 month to 10 years. Downloadable data:
¹Adrian, Crump and Emanuel Moench, 2013 – Pricing the Term Structure with Linear Regressions