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Estimación de la estructura a plazos de las tasas de interés en Colombia por medio del método de funciones B-spline cúbicas

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  • Diego Mauricio Vásquez
  • Luis Fernando Melo

    ()

Abstract

En este documento se presenta la descripción y los resultados de la estimación de la estructura a plazos de las tasas de interés en Colombia utilizando el método de funciones B-spline cúbicas. Adicionalmente, se llevan a cabo comparaciones entre los resultados obtenidos a través de esta metodología y los presentados por Arango, Melo y Vásquez (2002) respecto a los métodos de Nelson y Siegel, y de la Bolsa de Valores de Colombia. Se observa que el desempeño del método de estimación de funciones Bspline cúbicas es similar al de Nelson y Siegel, y estos dos métodos superan al de la Bolsa de Valores de Colombia.

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Bibliographic Info

Article provided by UNIVERSIDAD DEL ROSARIO in its journal REVISTA DE ECONOMÍA DEL ROSARIO.

Volume (Year): (2005)
Issue (Month): ()
Pages:

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Handle: RePEc:col:000151:002597

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Related research

Keywords: estructura a plazos de las tasas de interés; spline; funciones B spline cúbicas;

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  1. McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, American Finance Association, vol. 30(3), pages 811-30, June.
  2. Carleton, Willard T & Cooper, Ian A, 1976. "Estimation and Uses of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, American Finance Association, vol. 31(4), pages 1067-83, September.
  3. Luis Eduardo Arango & Luis Fernando melo & Diego Mauricio Vásquez, . "Estimación de la Estructura a Plazo de las Tasas de Interés en Colombia," Borradores de Economia, Banco de la Republica de Colombia 196, Banco de la Republica de Colombia.
  4. Svensson, L.E.O., 1994. "Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994," Papers, Stockholm - International Economic Studies 579, Stockholm - International Economic Studies.
  5. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 44(1), pages 19-31, January.
  6. Seppälä, Juha & Viertiö, Petri, 1996. "The Term Structure of Interest Rates: Estimation and Interpretation," Research Discussion Papers, Bank of Finland 19/1996, Bank of Finland.
  7. Lars E. O. Svensson, 1994. "Estimating and Interpreting Forward Interest Rates," IMF Working Papers, International Monetary Fund 94/114, International Monetary Fund.
  8. Litzenberger, Robert H & Rolfo, Jacques, 1984. " An International Study of Tax Effects on Government Bonds," Journal of Finance, American Finance Association, American Finance Association, vol. 39(1), pages 1-22, March.
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