Government Bond Yields Dominant Determinants in Emerging Non-Islamic Markets: The Resource-Based Case of Brazil
- Resource Type
- Conference
- Authors
- Teplova, Tamara; Lysenko, Vladimir; Sokolova, Tatiana
- Source
- 2021 International Conference on Sustainable Islamic Business and Finance Sustainable Islamic Business and Finance, 2021 International Conference on. :129-134 Dec, 2021
- Subject
- Computing and Processing
Analytical models
Exchange rates
Economic indicators
Biological system modeling
Oils
Government
Data models
ARDL
Data Envelopment Analysis
dominant determinants
optimal models
Non-Islamic Brazilian government bonds
Non-Islamic bond yields
- Language
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.