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La curva de rendimientos: una revisión metodológica y nuevas aproximaciones de estimación

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  • Juan Camilo Santana

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    Abstract

    La curva de rendimientos es una herramienta utilizada ampliamente, por quienes toman las decisiones de política monetaria o planifican sus inversiones, de acuerdo con la valoración, negociación o cobertura sobre instrumentos financieros. Debido a su importancia, el interés del artículo es evaluar el esempeño de un conjunto de modelos econométricos en el ajuste de la estructura a plazos de las tasas de interés (en el escenario del mercado de deuda pública en Colombia y en Estados Unidos), y en las distintas formas que pueden tomar las curvas de rendimientos. Los resultados revelan las bondades en el ajuste de las redes neuronales artificiales (RNA), la curva de Svensson, la curva de Nelson-Siegel y los polinomios locales. No obstante, se recomienda utilizar la curva de Svensson en la estimación de las tasas de interés, debido a la interpretabilidad de sus parámetros y a su superioridad sobre la Curva de Nelson-Siegel.

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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/48/v27n48_santana_2008.pdf
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    Bibliographic Info

    Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

    Volume (Year): (2008)
    Issue (Month): ()
    Pages:

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    Handle: RePEc:col:000093:004838

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    Related research

    Keywords: curva de rendimientos; Nelson-Siegel; Svensson; regresión Kernel; splines suavizados; polinomios locales; supersuavizador de Friedmann; polinomios trigonométricos; redes neuronales.;

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    1. Ben Hunt & Chris Terry, 1998. "Zero-Coupon Yield Curve Estimation: A Principal Component, Polynomial Approach," Working Paper Series 81, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Luis Eduardo Arango & Luis Fernando Melo, 2002. "Estimación de la Estructura a Plazo de las Tasas de Interés en Colombia," BORRADORES DE ECONOMIA 002594, BANCO DE LA REPÚBLICA.
    3. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
    4. Svensson, L.E.O., 1994. "Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994," Papers 579, Stockholm - International Economic Studies.
    5. Alejandro Revéiz Hérault & Juan Manuel Julio & Silvia Juliana Mera, 2002. "La curva Spot (Cero Cupón), Estimación con splines cúbicos suavizados, usos y ejemplos," LECTURAS EN FINANZAS 002961, BANCO DE LA REPÚBLICA.
    6. Svensson, Lars E O, 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992-4," CEPR Discussion Papers 1051, C.E.P.R. Discussion Papers.
    7. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January.
    8. Ben Hunt, 1995. "Modelling the Yields on Australian Coupon Paying Bonds," Working Paper Series 50, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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