In this paper, we analyze the productivity of farms across n = 370 municipalities located in the Center-West region of Brazil. We propose a stochastic frontier model with a latent spatial structure to account for possible unknown geographical variation of the outputs. This spatial component is...

In this paper we evaluate the effect of the real exchange rate volatility on thehysteresis band relative to investment plans in output and export capacityenlargement in the thirty six industrial sectors in the Brazilian input-output matrix.For this, the approach by Dixit (1989a e b) was extended...

Este trabalho analisa, para o caso brasileiro, os condicionantes transitórios dos níveis de emprego e distribuição de renda do país, utilizando os microdados da Pesquisa Mensal de Emprego (PME) produzida pelo Instituto Brasileiro de Geografia e Estatística (IBGE) para avaliar os efeitos de...

Our objective is to implement a credit risk pricing model for sovereign bonds and estimate the model for a historical series of yields of emerging markets bonds. We use a reduced model with a Vasicek 2-factor model on Brazilian sovereign data. The estimation occurs in two stages. Using Maximum...

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...

We use no arbitrage models with macro variables to study the interaction between the macroeconomy and the yield curve. This interaction is a key element for monetary policy and for forecasting. The model was used to analyze the Brazilian domestic financial market using a daily dataset and two...