Forecasting bond yields in the Brazilian fixed income market
AbstractThis 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 (2006). Empirical results suggest that forecasts made with the latter methodology are superior and appear accurate at long horizons when compared to different benchmark forecasts. These results are important for policy makers, portfolio and risk managers. Further research could study the predictive ability of such models in other emerging markets.
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Bibliographic InfoArticle provided by Elsevier in its journal International Journal of Forecasting.
Volume (Year): 24 (2008)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/ijforecast
Other versions of this item:
- Jose Vicente & Benjamin M. Tabak, 2007. "Forecasting Bonds Yields in the Brazilian Fixed Income Market," Working Papers Series 141, Central Bank of Brazil, Research Department.
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