Please use this identifier to cite or link to this item:
Type: Artigo
Title: Forecasting bond yields in the Brazilian fixed income market
Authors: Vicente, José Valentim Machado
Tabak, Benjamin Miranda
Abstract: This paper studies the predictive ability of a variety of models in forecasting the yield curve for the Brazilian fixed income market. We compare affine term structure models with a variation of the Nelson-Siegel exponential framework developed by Diebold and Li [Diebold, F., & Li, C. (2006). Forecasting the Term Structure of Government Yields. Journal of Econometrics, 130, 337-364]. Empirical results suggest that forecasts made with the latter methodology are superior, and appear to be more accurate at long horizons than other different benchmark forecasts. These results are important for policy-makers, as well as for portfolio and risk managers. Further research could study the predictive ability of such models in other emerging markets.
Keywords: Term structure of interest rates
Term premia
Monetary policy
Affine term structure models
Citation: VICENTE, José Valentim Machado; TABAK, Benjamin M. Forecasting bond yields in the Brazilian fixed income market. International Journal of Forecasting, v. 24, n. 3, p. 490-497, 2008.
Access Type: Acesso Aberto
Document date: Jul-2008
Appears in Collections:PPG - Revistas e Artigos Científicos

Files in This Item:
File Description SizeFormat 
xii-BRASIL05.pdf180.76 kBAdobe PDFView/Open

This item is licensed under a Creative Commons License Creative Commons