AN ADMISSIBLE TERM STRUCTURE MODEL OF SOVEREIGN YIELD SPREADS WITH MACRO FACTORS: THE CASE OF BRAZILIAN GLOBAL BONDS

Research output: Contribution to journalArticle

Author(s)

Department/unit(s)

Publication details

JournalManchester school
DatePublished - Sep 2009
Issue numberSUPPL. 1
Volume77
Number of pages18
Pages (from-to)108-125
Original languageEnglish

Abstract

We study the term structure of Brazilian sovereign bond yield spreads and their links with the domestic economy using a macro-finance framework. Our model allows Brazilian macroeconomic variables as well as a latent country risk factor to affect sovereign spreads. We find that although the Brazilian sovereign yield spreads are dominated by the risk factor during the high default risk periods of 1999 and 2002, the effects of macro variables are significant during the rest of the estimation period. In addition, the volatility level of the macroeconomic system is driven by the country risk factor.

Bibliographical note

M1 - 1

    Research areas

  • OPTIMAL CAPITAL STRUCTURE, INTEREST-RATES, CORPORATE-DEBT

Discover related content

Find related publications, people, projects, datasets and more using interactive charts.

View graph of relations