Impact of macro shocks on sovereign default probabilities

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Discussion Paper ; No. 173

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Estimation: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Markets and the Macroeconomy ; Monetary Policy ; Asset Pricing; Trading Volume; Bond Interest Rates ; Contingent Pricing; Futures Pricing; option pricing

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Matsumura, Marco Shinobu
• Ereignis: Veröffentlichung
• (wer): Institute for Applied Economic Research (ipea)
• (wo): Brasília
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/220262
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ