A Segmented and Observable Yield Curve for Colombia
| Autor: | Juan Felipe Penã, Carlos Castro-Iragorri, Cristhian Rodríguez |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Economics and Econometrics
050208 finance term structure HG1501-3550 Strategy and Management 05 social sciences Observable preferred habitat theory Banking Term (time) Bond valuation nelson-siegel 0502 economics and business Econometrics c58 Yield curve g12 050207 economics General Economics Econometrics and Finance c53 Finance Affine term structure model e43 Mathematics |
| Zdroj: | Journal of Central Banking Theory and Practice, Vol 10, Iss 2, Pp 179-200 (2021) |
| ISSN: | 2336-9205 |
| Popis: | Following (Almeida, Ardison, Kubudi, Simonsen, & Vicente, 2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term interbank rates for Colombia. The flexible estimation for each segment (short, medium, and long) provides an improvement over the classical Nelson-Siegel approach in particular in terms of in-sample and out-of-sample forecasting performance. A segmented term structure model based on observable bond prices provides a tool closer to the needs of practitioners in terms of reproducing the market quotes and allowing for independent local shocks in the different segments of the curve. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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