Produção Nacional
Revisado por pares
Forecasting bond yields in the Brazilian fixed income market
2008; Elsevier BV; Volume: 24; Issue: 3 Linguagem: Inglês
10.1016/j.ijforecast.2008.03.009
ISSN1872-8200
AutoresJosé Valentim Machado Vicente, Benjamin Miranda Tabak,
Tópico(s)Credit Risk and Financial Regulations
ResumoThis 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.
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