Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7793
Type: Artigo
Title: An analysis of the yield spread as a predictor of inflation in Brazil: evidence from
Authors: Tabak, Benjamin Miranda
Feitosa, Mateus Araujo
Abstract: In the present paper we apply multiresolution decomposition in order to test if the Brazilian yield spread has informational content in the prediction of inflation. Additionally, we investigate the effect of the implementation of inflation targeting regime over this relation. The results suggest that the predictive power of the spread varies across time patterns. Inasmuch, the results indicate that the implementation of the inflation target regime was a sine qua non condition for a substantial increase in the predictive power of inflation. Overall, results suggest that wavelets transformations may be very useful in the building of forecasts of important financial variables.
Keywords: Interest rates
Forecasts
Multiresolution analysis
Wavelets
Yield spread
Term structure of interest rates
Citation: TABAK, Benjamin Miranda; FEITOSA, Mateus Araujo. An analysis of the yield spread as a predictor of inflation in Brazil: evidence from a wavelets approach. Expert Systems with Applications, v. 36, n. 3, p. 7129-7134, 2009.
Access Type: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/630
https://repositorio.ucb.br:9443/jspui/handle/123456789/7793
Document date: 2009
Appears in Collections:PPG - Revistas e Artigos Científicos



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