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

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Author Info
Luis Eduardo Arango ()
Luis Fernando Melo ()

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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 REPÚBLICA in its series BORRADORES DE ECONOMIA with number 002594.

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Length: 34
Date of creation: 31 Jan 2002
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Handle: RePEc:col:000094:002594

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  1. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January. [Downloadable!] (restricted)
  2. Henri Bernard & Stefan Gerlach, 1996. "Does the term structure predict recessions? The international evidence," BIS Working Papers 37, Bank for International Settlements. [Downloadable!]
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  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. [Downloadable!] (restricted)
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  4. Schich, Sebastian T, 1999. "The Information Content of the German Term Structure Regarding Inflation," Applied Financial Economics, Taylor and Francis Journals, vol. 9(4), pages 385-95, August. [Downloadable!] (restricted)
  5. Seppälä, Juha & Viertiö, Petri, 1996. "The Term Structure of Interest Rates: Estimation and Interpretation," Research Discussion Papers 19/1996, Bank of Finland. [Downloadable!]
  6. 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. [Downloadable!] (restricted)
  7. 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. [Downloadable!] (restricted)
  8. Robert J. Shiller & J. Huston McCulloch, 1987. "The Term Structure of Interest Rates," NBER Working Papers 2341, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, vol. 30(3), pages 811-30, June. [Downloadable!] (restricted)
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  1. Ramiro Chacón, 2004. "Estructura temporal de las tasas de interés: curva cupón cero," I SIMPOSIO DOCENTES DE FINANZAS 002613, POLITÉCNICO GRANCOLOMBIANO. [Downloadable!]
  2. 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. [Downloadable!]
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  3. 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. [Downloadable!]
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