Forecasting Bonds Yields in the Brazilian Fixed Income Market

José Valentim Vicente and Benjamin Tabak

No 141, Working Papers Series from Central Bank of Brazil, Research Department

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 (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.

Date: 2007-08
New Economics Papers: this item is included in nep-fmk and nep-for
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Forecasting bond yields in the Brazilian fixed income market (2008)
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