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...

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...

The work investigates the demographic, economic and social determinants of the degree of satisfaction of the Brazilian househols with their income. For that, a ordered logit model is estimated in order to explain the performance of a subjective indicator of income sufficiency built with basis on...

O trabalho investiga os determinantes demográficos, econômicos e sociais do grau de satisfação das famílias brasileiras com seus rendimentos. Para tanto, um modelo logit ordenado é estimado para explicar o desempenho de um indicador subjetivo de suficiência da renda construído com base...

In this work we compare the interest rate forecasting performance using a broad class of linear models. The models are estimated through a MCMC procedure with data from the US and Brazilian markets. We show that a simple parametric specification has the best predictive power, but it does not...