Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter

Rogelio Maldonado Castaño, Natalia Zapata Rueda, Javier Orlando Pantoja Robayo

Resultado de la investigación: Contribución a una revistaArtículoInvestigaciónrevisión exhaustiva

1 Cita (Scopus)

Resumen

© 2014 Universidad ESAN. The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (1987) development which is widely accepted and used. This estimation is based on the curve fitting with available data, only for one day ahead, making difficult to estimate the future zero-coupon yield curve. Taking into account the importance of having an estimation of the term structure for the valuation of financial assets in the Colombian market, this research proposes a methodology to estimate in a dynamic form the parameters of interest rates in the Nelson and Siegel Model. This required the use of the re-parameterization proposed by Diebold and Li (2006), which determines the shape of the term structure through latent factors such as level, slope and curvature. This paper aims to show the dynamic estimation of the term structure of interest rate using the Kalman filter methodology framed in State - space. Results show that predictions are successful for more than one period in the future.
Idioma originalInglés estadounidense
Páginas (desde-hasta)70-77
Número de páginas8
PublicaciónJournal of Economics, Finance and Administrative Science
DOI
EstadoPublicada - 1 ene 2014

Huella dactilar

Kalman filter
Empirical analysis
Colombia
Interest rates
Term structure
Methodology
Curve fitting
Yield curve
Market research
Coupons
State space
Term structure of interest rates
Financial assets
Curvature
Latent factors
Prediction
Term structure models

Citar esto

Castaño, Rogelio Maldonado ; Rueda, Natalia Zapata ; Robayo, Javier Orlando Pantoja. / Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter. En: Journal of Economics, Finance and Administrative Science. 2014 ; pp. 70-77.
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Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter. / Castaño, Rogelio Maldonado; Rueda, Natalia Zapata; Robayo, Javier Orlando Pantoja.

En: Journal of Economics, Finance and Administrative Science, 01.01.2014, p. 70-77.

Resultado de la investigación: Contribución a una revistaArtículoInvestigaciónrevisión exhaustiva

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