In this paper, we discuss the recent evolution of the domestic interest rate curves. Our approach is original, due to the fact that the data we used were observations of the values of the interest rate functions corresponding to particular arguments, the maturities associated with related instruments. We employ econometric techniques developed by Silverman and Ramsey among others, known as Functional Data Analysis. The results obtained are similar to several others found in the Literature. Specifically, we confirm the existence of three additive components, that have the same interpretation of Litterman& Sheinkman(1991).
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Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number
73.