A segmented and observable yield curve for Colombia

Carlos Castro-Iragorri, Juan Felipe Penã, Cristhian Rodríguez

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

Resumen

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.

Idioma originalInglés estadounidense
Páginas (desde-hasta)179-197
Número de páginas19
PublicaciónJournal of Central Banking Theory and Practice
Volumen10
N.º2
DOI
EstadoPublicada - may. 1 2021

Áreas temáticas de ASJC Scopus

  • Finanzas
  • Economía y econometría
  • Estrategia y gestión

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