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

Listed author(s):
  • Juan Andrés Espinosa Torres

    ()

  • Luis Fernando Melo Velandia

    ()

  • José Fernando Moreno Gutiérrez

    ()

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.

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File URL: http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/be_854.pdf
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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 012333.

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Length: 20
Date of creation: 01 Dec 2014
Handle: RePEc:col:000094:012333
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