TY - JOUR
T1 - A segmented and observable yield curve for Colombia
AU - Castro-Iragorri, Carlos
AU - Penã, Juan Felipe
AU - Rodríguez, Cristhian
N1 - Publisher Copyright:
© 2021 Carlos Castro-Iragorri et al., published by Sciendo 2021.
PY - 2021/5/1
Y1 - 2021/5/1
N2 - Following (Almeida, Ardison, Kubudi, Simonsen, & Vicente, 2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term interbank rates for Colombia. The flexible estimation for each segment (short, medium, and long) provides an improvement over the classical Nelson-Siegel approach in particular in terms of in-sample and out-of-sample forecasting performance. A segmented term structure model based on observable bond prices provides a tool closer to the needs of practitioners in terms of reproducing the market quotes and allowing for independent local shocks in the different segments of the curve.
AB - Following (Almeida, Ardison, Kubudi, Simonsen, & Vicente, 2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term interbank rates for Colombia. The flexible estimation for each segment (short, medium, and long) provides an improvement over the classical Nelson-Siegel approach in particular in terms of in-sample and out-of-sample forecasting performance. A segmented term structure model based on observable bond prices provides a tool closer to the needs of practitioners in terms of reproducing the market quotes and allowing for independent local shocks in the different segments of the curve.
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U2 - 10.2478/jcbtp-2021-0019
DO - 10.2478/jcbtp-2021-0019
M3 - Research Article
AN - SCOPUS:85106618929
SN - 1800-9581
VL - 10
SP - 179
EP - 197
JO - Journal of Central Banking Theory and Practice
JF - Journal of Central Banking Theory and Practice
IS - 2
ER -