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Government Bond Yields Dominant Determinants in Emerging Non-Islamic Markets: The Resource-Based Case of Brazil

P. 1–6.
Teplova T., Lysenko Vladimir, Sokolova T.

The purpose of our study is to identify the dominant determinants of public non-Islamic debt cost through analysis of nominal government bond yields denominated in local currency. The object is Brazilian government bonds of different maturity (from 1-year to 10-year). ARDL models allowed us to identify the lagged dependencies of the variables, and the Data Envelopment Analysis (DEA) methodology allowed us to select the optimal models with dominant factors. We consider a whole range of Brazil local currency government bond yields by maturity and lagged impacts of influencing factors.

Language: English
Full text
Keywords: ARDLdominant determinantsNon-Islamic bond yieldsNon-Islamic Brazilian government bondsoptimal models Data Envelopment Analysis Data Envelopment AnalysisARDLключевые детерминантыоптимальные моделигосударственные облигации Бразилиидоходность неисламских облигаций

In book

2021 International Conference on Sustainable Islamic Business and Finance
IEEE, 2021.
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