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

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 yiel...

Full description

Autores:
Maldonado Castaño, Rogelio
Zapata Rueda, Natalia
Pantoja Robayo, Javier Orlando
Tipo de recurso:
Fecha de publicación:
2014
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
eng
OAI Identifier:
oai:repository.eafit.edu.co:10784/7623
Acceso en línea:
http://hdl.handle.net/10784/7623
Palabra clave:
Term structure
Kalman filter
Dynamic estimation
Rights
License
openAccess
id REPOEAFIT2_b7039d33f4ca8ba13d5bd10981eb83ab
oai_identifier_str oai:repository.eafit.edu.co:10784/7623
network_acronym_str REPOEAFIT2
network_name_str Repositorio EAFIT
repository_id_str
spelling 20142015-11-06T21:15:36Z20142015-11-06T21:15:36Z2218-0648http://hdl.handle.net/10784/7623doi:10.1016/j.jefas.2014.07.001The 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.engElsevierJournal of Economics, Finance and Administrative Science. Vol. 19, (37), 2014, pp.70-77http://www.sciencedirect.com/science/article/pii/S2077188614000237http://www.sciencedirect.com/science/article/pii/S2077188614000237openAccessCopyright © 2014 Universidad ESAN. Published by Elsevier España S.L.Acceso abiertohttp://purl.org/coar/access_right/c_abf2Journal of Economics, Finance and Administrative Science. Vol. 19, (37), 2014, pp.70-77Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the kalman filterarticleinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArtículoObra publicadapublishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Term structureKalman filterDynamic estimationEconomía y FinanzasFinanzasMaldonado Castaño, RogelioZapata Rueda, NataliaPantoja Robayo, Javier OrlandoUniversidad de Medellin, Universidad EAFITProfessor of the Economics and Finance School at Universidad EAFITGrupo de Investigación Finanzas y BancaJournal of Economics, Finance and Administrative Science19377077ORIGINAL1-s2.0-S2077188614000237-main.pdf1-s2.0-S2077188614000237-main.pdfapplication/pdf738560https://repository.eafit.edu.co/bitstreams/a39c5448-1a6a-4cc6-923c-a719a85769b6/download7e9bfa4c3450b07bcda80b703efd3877MD5110784/7623oai:repository.eafit.edu.co:10784/76232023-03-15 08:30:06.652open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.eng.fl_str_mv Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the kalman filter
title Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the kalman filter
spellingShingle Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the kalman filter
Term structure
Kalman filter
Dynamic estimation
title_short Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the kalman filter
title_full Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the kalman filter
title_fullStr Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the kalman filter
title_full_unstemmed Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the kalman filter
title_sort Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the kalman filter
dc.creator.fl_str_mv Maldonado Castaño, Rogelio
Zapata Rueda, Natalia
Pantoja Robayo, Javier Orlando
dc.contributor.department.spa.fl_str_mv Economía y Finanzas
Finanzas
dc.contributor.author.spa.fl_str_mv Maldonado Castaño, Rogelio
Zapata Rueda, Natalia
Pantoja Robayo, Javier Orlando
dc.contributor.affiliation.spa.fl_str_mv Universidad de Medellin, Universidad EAFIT
Professor of the Economics and Finance School at Universidad EAFIT
dc.contributor.program.spa.fl_str_mv Grupo de Investigación Finanzas y Banca
dc.subject.keyword.eng.fl_str_mv Term structure
Kalman filter
Dynamic estimation
topic Term structure
Kalman filter
Dynamic estimation
description 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.
publishDate 2014
dc.date.issued.none.fl_str_mv 2014
dc.date.available.none.fl_str_mv 2015-11-06T21:15:36Z
dc.date.accessioned.none.fl_str_mv 2015-11-06T21:15:36Z
dc.date.none.fl_str_mv 2014
dc.type.eng.fl_str_mv article
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.local.spa.fl_str_mv Artículo
dc.type.hasVersion.spa.fl_str_mv Obra publicada
dc.type.hasVersion.eng.fl_str_mv publishedVersion
status_str publishedVersion
dc.identifier.issn.none.fl_str_mv 2218-0648
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/7623
dc.identifier.doi.none.fl_str_mv doi:10.1016/j.jefas.2014.07.001
identifier_str_mv 2218-0648
doi:10.1016/j.jefas.2014.07.001
url http://hdl.handle.net/10784/7623
dc.language.iso.eng.fl_str_mv eng
language eng
dc.relation.ispartof.spa.fl_str_mv Journal of Economics, Finance and Administrative Science. Vol. 19, (37), 2014, pp.70-77
dc.relation.isversionof.none.fl_str_mv http://www.sciencedirect.com/science/article/pii/S2077188614000237
dc.relation.uri.none.fl_str_mv http://www.sciencedirect.com/science/article/pii/S2077188614000237
dc.rights.eng.fl_str_mv openAccess
dc.rights.spa.fl_str_mv Copyright © 2014 Universidad ESAN. Published by Elsevier España S.L.
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.local.spa.fl_str_mv Acceso abierto
rights_invalid_str_mv openAccess
Copyright © 2014 Universidad ESAN. Published by Elsevier España S.L.
Acceso abierto
http://purl.org/coar/access_right/c_abf2
dc.publisher.eng.fl_str_mv Elsevier
dc.source.spa.fl_str_mv Journal of Economics, Finance and Administrative Science. Vol. 19, (37), 2014, pp.70-77
institution Universidad EAFIT
bitstream.url.fl_str_mv https://repository.eafit.edu.co/bitstreams/a39c5448-1a6a-4cc6-923c-a719a85769b6/download
bitstream.checksum.fl_str_mv 7e9bfa4c3450b07bcda80b703efd3877
bitstream.checksumAlgorithm.fl_str_mv MD5
repository.name.fl_str_mv Repositorio Institucional Universidad EAFIT
repository.mail.fl_str_mv repositorio@eafit.edu.co
_version_ 1814110466728787968

Publicaciones similares