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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.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 196.

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Handle: RePEc:bdr:borrec:196

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  1. repec:nbr:nberwo:2341 is not listed on IDEAS
  2. McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, vol. 30(3), pages 811-30, June.
  3. Lars E.O. Svensson, 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994," NBER Working Papers 4871, National Bureau of Economic Research, Inc.
  4. Sebastian Schich, 1999. "The information content of the German term structure regarding inflation," Applied Financial Economics, Taylor & Francis Journals, vol. 9(4), pages 385-395.
  5. Seppälä, Juha & Viertiö, Petri, 1996. "The Term Structure of Interest Rates: Estimation and Interpretation," Research Discussion Papers 19/1996, Bank of Finland.
  6. Bernard, Henri J & Gerlach, Stefan, 1998. "Does the Term Structure Predict Recessions? The International Evidence," CEPR Discussion Papers 1892, C.E.P.R. Discussion Papers.
  7. Franco Modigliani & Richard Sutch, 1967. "Debt Management and the Term Structure of Interest Rates: An Empirical Analysis of Recent Experience," Journal of Political Economy, University of Chicago Press, vol. 75, pages 569.
  8. 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.
  9. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722 Elsevier.
  10. Shea, Gary S., 1984. "Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(03), pages 253-269, September.
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Cited by:
  1. Diego Mauricio Vásuez & Luis Fernando Melo, . "Estimación de la Estructura a Plazos de las Tasas de Interés en Colombia por Medio del Método de Funciones B-Spline Cúbicas," Borradores de Economia 210, Banco de la Republica de Colombia.
  2. Juan Camilo Santana, 2008. "La curva de rendimientos: una revisión metodológica y nuevas aproximaciones de estimación," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID.
  3. Karim Parra, 2010. "Factores determinantes del margen entre la deuda," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
  4. Diego Vásquez & Camilo Zea, 2003. "Hedging Alternatives for the Mortgage Stabilization Fund (FRENCH): European Cap Options for the Real Interest Rate," BORRADORES DE ECONOMIA 002786, BANCO DE LA REPÚBLICA.
  5. Ramiro Chacón, 2004. "Estructura temporal de las tasas de interés: curva cupón cero," I SIMPOSIO DOCENTES DE FINANZAS 002613, POLITÉCNICO GRANCOLOMBIANO.
  6. Angélica Arosemena, . "Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de literatura," Borradores de Economia 223, Banco de la Republica de Colombia.
  7. Luis Eduardo Arango & María Angélica Arosemena, . "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.

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