We propose different exactly identified specifications of affine models with observed macri factors. The models are compared estimating Brazilian domestic and sovereign yield curves. Propomos diferentes especificações exatamente identificadas de modelos afins com fatores macroeconômicos...

The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages...

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...

Apresenta os modelos para a curva de referências e a curva soberana emergente. Mostra os resultados numéricos das estimações e uma série de gráficos com as curvas teóricas da estrutura a termo dos juros, dos spreads e das probabilidades de default.

We propose different exactly identified specifications of affine models with observed macri factors. The models are compared estimating Brazilian domestic and sovereign yield curves.

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...

The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages...

We use a dynamic term structure model with default and observable factors to study the interaction between macro variables and the Brazilian sovereign yield curve. We also calculate the default probabilities implied from the estimated model and the impact of macro shocks on those probabilities....

Nos anos 1990, por conta dos eventos ocorridos na economia brasileira, a associação de trabalhadores a sindicatos enfrentou uma crise expressiva. As bases sindicais contraíram-se e, ao mesmo tempo, tornaram-se mais rarefeitas. Contudo, nos 2000, apesar de a economia ter colaborado bastante,...