This paper empirically models the dynamics of Brazilian government bond (BGB) yields based on monthly macroeconomic … data in the context of the evolution of Brazil's key macroeconomic variables. The results show that the current short …-term interest rate. These findings have important policy implications for Brazil. This paper relates the findings of the estimated …

curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield …

curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield …