Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/220262 
Year of Publication: 
2015
Series/Report no.: 
Discussion Paper No. 173
Publisher: 
Institute for Applied Economic Research (ipea), Brasília
Abstract: 
We use macro finance models to study the interaction between macro variables and the Brazilian sovereign yield curve using daily data. We calculate the model implied default probabilities and a measure of the impact of macro shocks on the probabilities. An extension of the Dai-Singleton identification strategy for Gaussian models with latent and observable factors is described in order to estimate our models. Among the tested variables, VIX is the most important macro factor affecting short term bonds and default probabilities and the Fed short rate is the most important factor affecting the long term default probabilities.
JEL: 
C13
C32
E44
E52
G12
G13
Document Type: 
Working Paper

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