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Can Macroeconomic Variables Account for the Term Structure of Sovereign Spreads?

其他書名	Studying the Brazilian Case
出版	IPEA, 2005
URL	http://books.google.com.hk/books?id=WlSyAAAAIAAJ&hl=&source=gbs_api

註釋The objective of our work is to study the term structure of interest rates and the sovereign credit spreads of emerging markets. We develop a model from term structure, credit risk and vector autoregressive models, based on the articles by Ang and Piazzesi (2003) and Ang, Dong and Piazzesi (2005). Those article's principal innovation is to include and study the relation among macroeconomic variables and state variables of conventional term structure models. Our contributions include simplifying their model, propose a new estimation method, add credit risk, and show results for Brazilian domestic and external markets.