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首页> 外文期刊>Journal of banking & finance >Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998-2009
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Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998-2009

机译：使用国际宏观因素对主权信用息差进行建模：以巴西为例1998-2009

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摘要

This paper develops a macro-finance model of the Brazilian economy and its sovereign debt markets that allows for domestic and international macroeconomic influences as well as swings in investor confidence. It finds significant evidence of common trends in the US and Brazilian economies and bond markets as well as spillover effects from US inflation and business cycles to the Brazilian economy. The US Fed Funds rate influences Brazilian sovereign spreads, as do Brazilian inflation and policy rates. The Brazilian confidence factor dominates the behavior of the spreads during periods of crisis and we find that it also has a powerful effect on the level and volatility of macroeconomic variables. These results suggest that the macro-finance approach could throw light upon the behavior of other economies that are troubled by sovereign risk.
机译：本文建立了巴西经济及其主权债务市场的宏观融资模型，该模型可以考虑国内外宏观经济影响以及投资者信心的波动。它找到了美国和巴西经济体和债券市场共同趋势以及美国通货膨胀和商业周期对巴西经济的溢出效应的重要证据。美国联邦基金利率，巴西通胀率和政策利率也影响巴西主权利差。在危机期间，巴西的信心因子支配着利差的行为，我们发现它对宏观经济变量的水平和波动性也具有强大的影响。这些结果表明，宏观金融方法可以揭示受到主权风险困扰的其他经济体的行为。

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