A model to estimate the US term structure of interest rates

The US term structure of interest rates plays a central role in fixed-income analysis. For example, estimating accurately the US term structure is a crucial step for those interested in analyzing Brazilian Brady bonds such as IDUs, DCBs, FLIRBs, EIs, etc. In this work we present a statistical model to estimate the US term structure of interest rates. We address in this report all major issues which drove us in the process of implementing the model developed, concentrating on important practical issues such as computational efficiency, robustness of the final implementation, the statistical properties of the final model, etc. Numerical examples are provided in order to illustrate the use of the model on a daily basis.

The Aiyagari model with liquidity shoch

Neste trabalho é desenvolvida uma versão do modelo de Aiyagari (1994) com choque de liquidez. Este modelo tem Huggett (1993) e Aiyagari (1994) como casos particulares, mas esta generalização permite dois ativos distintos na economia, um líquido e outro ilíquido. Usar dois ativos diferentes implica em dois retornos afetando o "market clearing", logo, a estratégia computacional usada por Aiyagari e Hugget não funciona. Consequentemente, a triangulação de Scarf substitui o algoritmo. Este experimento computacional mostra que o retorno em equilíbrio do ativo líquido é menor do que o retorno do ilíquido. Além disso, pessoas pobres carregam relativamente mais o ativo líquido, e essa desigualdade não aparece no modelo de Aiyagari.

Invariant tests in an instrumental variables model with unknown data generating process

In this work we focus on tests for the parameter of an endogenous variable in a weakly identi ed instrumental variable regressionmodel. We propose a new unbiasedness restriction for weighted average power (WAP) tests introduced by Moreira and Moreira (2013). This new boundary condition is motivated by the score e ciency under strong identi cation. It allows reducing computational costs of WAP tests by replacing the strongly unbiased condition. This latter restriction imposes, under the null hypothesis, the test to be uncorrelated to a given statistic with dimension given by the number of instruments. The new proposed boundary condition only imposes the test to be uncorrelated to a linear combination of the statistic. WAP tests under both restrictions to perform similarly numerically. We apply the di erent tests discussed to an empirical example. Using data from Yogo (2004), we assess the e ect of weak instruments on the estimation of the elasticity of inter-temporal substitution of a CCAPM model.

Bank networks and firm credit: an agent based model approach

Starting from the idea that economic systems fall into complexity theory, where its many agents interact with each other without a central control and that these interactions are able to change the future behavior of the agents and the entire system, similar to a chaotic system we increase the model of Russo et al. (2014) to carry out three experiments focusing on the interaction between Banks and Firms in an artificial economy. The first experiment is relative to Relationship Banking where, according to the literature, the interaction over time between Banks and Firms are able to produce mutual benefits, mainly due to reduction of the information asymmetry between them. The following experiment is related to information heterogeneity in the credit market, where the larger the bank, the higher their visibility in the credit market, increasing the number of consult for new loans. Finally, the third experiment is about the effects on the credit market of the heterogeneity of prices that Firms faces in the goods market.