An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields
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DOI: 10.1016/S0120-4483(14)70028-4
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- Alexander Guarín & José Fernando Moreno & Hernando Vargas, 2014. "An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 32(74), pages 68-86, June.
- Alexander Guarín & José Fernando Moreno & Hernando Vargas, 2014. "An empirical analysis of the relationship between US and Colombian long-term sovereign bond yields," BIS Papers chapters, in: Bank for International Settlements (ed.), The transmission of unconventional monetary policy to the emerging markets, volume 78, pages 129-158, Bank for International Settlements.
- Alexander Guarín & José Fernando Moreno & Hernando Vargas, 2014. "An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields?," Borradores de Economia 11311, Banco de la Republica.
- Alexander Guarín & José Fernando Moreno & Hernando Vargas, 2014. "An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields," Borradores de Economia 822, Banco de la Republica de Colombia.
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Citations
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Cited by:
- Juan Camilo Anzoátegui Zapata & Juan Camilo Galvis, 2019. "Efectos de la comunicación del banco central sobre los títulos públicos: evidencia empírica para Colombia," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 38(77), pages 337-364, July.
- Espinosa-Torres, Juan Andrés & Gomez-Gonzalez, Jose Eduardo & Melo-Velandia, Luis Fernando & Moreno-Gutiérrez, José Fernando, 2016.
"The international transmission of risk: Causal relations among developed and emerging countries’ term premia,"
Research in International Business and Finance, Elsevier, vol. 37(C), pages 646-654.
- Juan Andrés Espinosa-Torres & Jose E. Gomez-Gonzalez & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015. "The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries’ Term Premia," Borradores de Economia 12609, Banco de la Republica.
- Juan Andrés Espinosa-Torres & Jose E. Gomez-Gonzalez & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015. "The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries’ Term Premia," Borradores de Economia 869, Banco de la Republica de Colombia.
- Tomas Heryan & Jan Ziegelbauer, 2016. "Volatility Of Yields Of Government Bonds Among Giips Countries During The Sovereign Debt Crisis In The Euro Area," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(1), pages 61-74, March.
- Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2014.
"Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano,"
Borradores de Economia
12333, Banco de la Republica.
- Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2014. "Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano," Borradores de Economia 854, Banco de la Republica de Colombia.
- Andrea Carolina Vargas-Páez & Carlos David Ardila-Dueñas, 2021. "Efecto del riesgo de tipo de cambio en la rentabilidad de los bonos soberanos en Colombia," Borradores de Economia 1165, Banco de la Republica de Colombia.
- Carlos Alberto Cuadros Lara, 2015. "Descomposicion de la estructura a terminos de la tasa de interes de los bonos soberanos de Estados Unidos y Colombia," Revista de Economía del Rosario, Universidad del Rosario, vol. 18(2), pages 309-342, December.
- Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 14112, Banco de la Republica.
- Carlos David Ardila-Dueñas & Hernán Rincón-Castro, 2019. "¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?," Borradores de Economia 1077, Banco de la Republica de Colombia.
- Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 919, Banco de la Republica de Colombia.
- Andrew Blake & Garreth Rule & Ole Rummel, 2015. "Inflation targeting and term premia estimates for Latin America," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 24(1), pages 1-21, December.
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More about this item
Keywords
Long-term bond yields; Global financial crisis; Emerging markets; Moving window linear regression; VARX-MGARCH model;All these keywords.
JEL classification:
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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