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Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano

Author

Listed:
  • Juan Andrés Espinosa Torres

    ()

  • Luis Fernando Melo Velandia

    ()

  • José Fernando Moreno Gutiérrez

    ()

Abstract

Se estima la prima por vencimiento a partir de un modelo afín de 4 componentes principales de la estructura a términos de las tasas de interés de los bonos soberanos de Colombia en pesos. Se sigue la metodología propuesta por Adrian et al. (2013) para el periodo comprendido entre enero de 2003 y octubre de 2014. Los resultados obtenidos indican que la prima por término es mayor y más volátil a medida que aumenta el vencimiento. También se observa que esta prima es decreciente en el tiempo, lo cual se puede asociar a las mejores condiciones del mercado de estos títulos, la mayor estabilidad macroeconómica y las mayores condiciones de liquidez a nivel internacional. Adicionalmente, el modelo estimado captura eventos de estrés observados en el mercado.

Suggested Citation

  • 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 012333, BANCO DE LA REPÚBLICA.
  • Handle: RePEc:col:000094:012333
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    References listed on IDEAS

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    Cited by:

    1. Carlos Alberto Cuadros Lara, 2015. "Descomposicion de la estructura a terminos de la tasa de interes de los bonos soberanos de Estados Unidos y Colombia," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, vol. 18(2), pages 309-342, December.
    2. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2017. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," REVISTA DESARROLLO Y SOCIEDAD, UNIVERSIDAD DE LOS ANDES-CEDE, vol. 78, February.
    3. Luis Ceballos & Damián Romero, 2015. "Decomposing Long-Term Interest Rates: An International Comparison," Working Papers Central Bank of Chile 767, Central Bank of Chile.
    4. Espinosa-Torres, Juan Andrés & Gomez-Gonzalez, Jose Eduardo & Melo-Velandia, Luis Fernando & Moreno-Gutiérrez, José Fernando, 2016. "The international transmission of risk: Causal relations among developed and emerging countries’ term premia," Research in International Business and Finance, Elsevier, vol. 37(C), pages 646-654.

    More about this item

    Keywords

    Prima por vencimiento; estructura a términos de las tasas de interés; modelo afín.;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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