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Estimación de la Estructura a Plazo de las Tasas de Interés en Colombia

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  • Luis Eduardo Arango
  • Luis Fernando melo
  • Diego Mauricio Vásquez

Abstract

Se presenta una estimación de la estructura a plazo de las tasas de interés en Colombia, utilizando el método de Nelson y Siegel (1987). Siguiendo criterios convencionales nuestra estimación supera la curva CETES de la Bolsa de Colombia. De acuerdo con la evolución de la curva de la tasa forward, algunas interpretaciones preliminares sugieren una disminución en las expectativas de inflación a lo largo de 2001.

Suggested Citation

  • Luis Eduardo Arango & Luis Fernando melo & Diego Mauricio Vásquez, 2002. "Estimación de la Estructura a Plazo de las Tasas de Interés en Colombia," Borradores de Economia 196, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:196
    DOI: 10.32468/be.196
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    References listed on IDEAS

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    Cited by:

    1. Karim Parra, 2010. "Factores determinantes del margen entre la deuda corporativa y la deuda pública en Colombia," Revista de Economía del Rosario, Universidad del Rosario, November.
    2. Diego Mauricio Vásquez & Luis Fernando Melo, 2005. "Estimación de la estructura a plazos de las tasas de interés en Colombia por medio del método de funciones B-spline cúbicas," Revista de Economía del Rosario, Universidad del Rosario, June.
    3. 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.
    4. 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.
    5. Diego Mauricio Vásquez E. & Luis Fernando Melo Velandia, 2002. "Estimación De La Estructura A Plazo De Las Tasas De Interés En Colombia Por Medio Del Método De Funciones B-Spline Cúbicas," Borradores de Economia 2595, Banco de la Republica.
    6. Diego Vásquez & Camilo Zea, 2003. "Hedging Alternatives for the Mortgage Stabilization Fund (FRECH) European Cap Options for the Real Interest Rate," Borradores de Economia 265, Banco de la Republica de Colombia.
    7. Angélica Arosemena, 2002. "Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de literatura," Borradores de Economia 223, Banco de la Republica de Colombia.
    8. Juan José Echavarría & Diego Vásquez, 2008. "Expectativas, tasa de interés y tasa de cambio: paridad cubierta y no cubierta en Colombia, 2000-2007," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, June.
    9. 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.
    10. Ramiro Chacón, 2004. "Estructura temporal de las tasas de interés: curva cupón cero," I Simposio Docentes de Finanzas 2613, Politécnico Grancolombiano.
    11. Raúl Castro R. & Diego A. Castro Amado & Yolanda Casallas A., 2020. "Tasa de descuento: aspectos relevantes para el licenciamiento ambiental en Colombia," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 84(1), pages 9-53, February.
    12. Luis Eduardo Arango & María Angélica Arosemena, 2003. "El Tramo Corto de la Estructura a Plazo como predictor de Expectativas de Inflación en Colombia," Borradores de Economia 264, Banco de la Republica de Colombia.
    13. Luis Eduardo Arango & Andrés González & John Jairo León & Luis Fernando Melo., 2008. "Cambios de la Tasa de Política y su Efecto en la Estructura a Plazo de Colombia," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 257-291.
    14. Juan Camilo Santana, 2008. "La curva de rendimientos: una revisión metodológica y nuevas aproximaciones de estimación," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, July.

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    More about this item

    JEL classification:

    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • J40 - Labor and Demographic Economics - - Particular Labor Markets - - - General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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