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Persistence of Bond Yields: Evidence from BRICS Countries

Author

Listed:
  • Amir Imeri
  • Carlos Poza
  • Luis Alberiko Gil-Alana

    (CUQ – Ulster University, Doha, Qatar)

Abstract

This paper examines the impact of the COVID-19 pandemic and the Russia–Ukraine war on the persistence of BRICS countries' 10- and 15-year bond yields using a fractional integration framework. The analysis spans three periods: pre-pandemic (2003– 2019), pandemic (until December 2021), and post-pandemic (until September 2023). The findings reveal no significant trends in 10-year yields across BRICS countries. Mean reversion is evident for Brazil in the pre-pandemic period, and for both Brazil and South Africa across the entire sample. South Africa shows a notable trend in 15-year bond yields, with shocks observed across all series. Policy implications are discussed.

Suggested Citation

  • Amir Imeri & Carlos Poza & Luis Alberiko Gil-Alana, 2025. "Persistence of Bond Yields: Evidence from BRICS Countries," Review of Development Finance Journal, Chartered Institute of Development Finance, vol. 15(1), pages 20-25.
    • Handle: RePEc:afj:journ3:v:15:y:2025:i:1:p:20-25
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    File URL: https://journals.co.za/doi/abs/10.10520/ejc-rdfin_v15_n1_a2
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    More about this item

    Keywords

    BRICS bond yields; Fractional integration; Persistence; Shocks;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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