English, Article edition: AN ADMISSIBLE TERM STRUCTURE MODEL OF SOVEREIGN YIELD SPREADS WITH MACRO FACTORS: THE CASE OF BRAZILIAN GLOBAL BONDS ZHUOSHI LIU; PETER SPENCER

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/108858
Physical Description
  • article
Language
  • English

Edition details

Title
  • AN ADMISSIBLE TERM STRUCTURE MODEL OF SOVEREIGN YIELD SPREADS WITH MACRO FACTORS: THE CASE OF BRAZILIAN GLOBAL BONDS
Author
  • ZHUOSHI LIU
  • PETER SPENCER
Physical Description
  • article
Notes
  • 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. Copyright © 2009 The Authors. Journal compilation © 2009 Blackwell Publishing Ltd and The University of Manchester.
  • RePEc:bla:manchs:v:77:y:2009:i:s1:p:108-125
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment