Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/220241 
Year of Publication: 
2015
Series/Report no.: 
Discussion Paper No. 152
Publisher: 
Institute for Applied Economic Research (ipea), Brasília
Abstract: 
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.
JEL: 
G12
G13
E43
E47
Document Type: 
Working Paper

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