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La curva de rendimientos: una revisión metodológica y nuevas aproximaciones de estimación

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  • Juan Camilo Santana

Abstract

La curva de rendimientos es una herramienta utilizada ampliamente, por quienes toman las decisiones de política monetaria o planifican sus inversiones, de acuerdo con la valoración, negociación o cobertura sobre instrumentos financieros. Debido a su importancia, el interés del artículo es evaluar el esempeno de un conjunto de modelos econométricos en el ajuste de la estructura a plazos de las tasas de interés (en el escenario del mercado de deuda pública en Colombia y en Estados Unidos), y en las distintas formas que pueden tomar las curvas de rendimientos. Los resultados revelan las bondades en el ajuste de las redes neuronales artificiales (RNA), la curva de Svensson, la curva de Nelson-Siegel y los polinomios locales. No obstante, se recomienda utilizar la curva de Svensson en la estimación de las tasas de interés, debido a la interpretabilidad de sus parámetros y a su superioridad sobre la Curva de Nelson-Siegel.

Suggested Citation

  • 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.
    • Handle: RePEc:col:000093:004838
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    References listed on IDEAS

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    More about this item

    Keywords

    curva de rendimientos; Nelson-Siegel; Svensson; regresión Kernel; splines suavizados; polinomios locales; supersuavizador de Friedmann; polinomios trigonométricos; redes neuronales.;
    All these keywords.

    JEL classification:

    • C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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