Relación entre títulos que conforman la curva de rendimientos del mercado de deuda pública colombiano

Translated title of the contribution: Relationship between securities that make up the yield curve of the Colombian public debt market

Juan Cantillo, Mónica Arango, Julie Gonzalez, Manuela Jaramillo

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

Based on the information of the yield curve (CR) of Colombia, it is sought to find the existing relationships between the titles that compose it; specifically sets of two or three assets; and with this analyze whether or not there are cointegration or equilibrium relations in the long term. Taking this into account, it was found that there are cointegration relations between October 18 and July 20 for the case of peer analysis and for the case of analysis of trios, a strong relationship was found between October 2018, November 2018 and July 2020. These results are obtained optimally using a Python algorithm that looks for all possible relationships between the considered assets. This algorithm is part of the contribution of this work, and also the finding and the evidence that there are cointegrated assets in the yield curve of Colombia. With this, medium-term debt portfolio investment strategies can be designed.

Translated title of the contributionRelationship between securities that make up the yield curve of the Colombian public debt market
Original languageSpanish
Title of host publicationProceedings of CISTI 2019 - 14th Iberian Conference on Information Systems and Technologies
EditorsRamiro Goncalves, Isabel Pedrosa, Manuel Perez Cota, Alvaro Rocha
PublisherIEEE Computer Society
ISBN (Electronic)9789899843493
DOIs
StatePublished - 1 Jun 2019
Event14th Iberian Conference on Information Systems and Technologies, CISTI 2019 - Coimbra, Portugal
Duration: 19 Jun 201922 Jun 2019

Publication series

NameIberian Conference on Information Systems and Technologies, CISTI
Volume2019-June
ISSN (Print)2166-0727
ISSN (Electronic)2166-0735

Conference

Conference14th Iberian Conference on Information Systems and Technologies, CISTI 2019
CountryPortugal
CityCoimbra
Period19/06/1922/06/19

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