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Forecasting the Brazilian yield curve using forward-looking variables

Vieira, Fausto; Chague, Fernando; Fernandes, Marcelo - 2016

This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and Siegel (NS) parametrization of the yield curve to predict the Brazilian term structure of interest rates. Importantly, we extract the principal components for the FAVAR from a...

Persistent link: https://www.econbiz.de/10011523983

Sovereign bond risk premiums

Dockner, Engelbert J.; Mayer, Manuel; Zechner, Josef - 2017

Persistent link: https://www.econbiz.de/10011763294

The limits of limitless debt

Osband, Kent; Capasso, Salvatore; Filoso, Valerio - 2022

Persistent link: https://www.econbiz.de/10014227377

The impact of the creation of a sovereign ESG reference yield curve on corporate ESG bonds issuances from Latin America and the Caribbean

Cunha, Daniel; Craveiro, Giovana; Rossi, Marina - 2024

This paper explores a granular database from the Inter-American Development Bank (IDB) Green Bond Transparency Platform … reference yield curve can boost the private ESG bond market. Using a difference-in-differences (DID) approach, we empirically … bond issuances and a 25 percent increase in the number of ESG corporate bond issuances in the external markets after three …

Persistent link: https://www.econbiz.de/10014529872

From various degrees of trade to various degrees of financial integration : what do interest rates have to say?

Bachellerie, Adeline; Héricourt, Jérôme; Mignon, Valérie - 2009

Persistent link: https://www.econbiz.de/10003927121

Extraction of inflation expectations from financial instruments

Fuertes, Alberto; Gimeno, Ricardo; Marqués, José Manuel - 2018

In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By implementing this approach, we avoid the use of...

Persistent link: https://www.econbiz.de/10011883446