On the volatility of the yield curve of the Colombian public debt market

This paper estimates the volatility of the Temporary Structure of Interest Rates (ETTI) of the Colombian public debt market and explains its relationship with macroeconomics fundamentals. Starting from the parametric model proposed by Nelson and Siegel (1987), the ETTI is estimated in order to captu...

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Autores:
Sánchez, José Miguel
Trespalacios Carrasquilla, Alfredo
Tipo de recurso:
Fecha de publicación:
2018
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
spa
OAI Identifier:
oai:repository.eafit.edu.co:10784/13121
Acceso en línea:
http://hdl.handle.net/10784/13121
Palabra clave:
E43
E44
temporary structure of interest rates
Volatility
Autoregressive vectors
Principal components
Causality
Estructura temporal de las tasas de interés
Volatilidad
Vectores autorregresivos
Componentes principales
Causalidad
Rights
License
Copyright (c) 2018 José Miguel Sánchez, Alfredo Trespalacios Carrasquilla
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dc.title.eng.fl_str_mv On the volatility of the yield curve of the Colombian public debt market
dc.title.spa.fl_str_mv Sobre la volatilidad de la curva de rendimientos del mercado colombiano de deuda pública
title On the volatility of the yield curve of the Colombian public debt market
spellingShingle On the volatility of the yield curve of the Colombian public debt market
E43
E44
temporary structure of interest rates
Volatility
Autoregressive vectors
Principal components
Causality
Estructura temporal de las tasas de interés
Volatilidad
Vectores autorregresivos
Componentes principales
Causalidad
title_short On the volatility of the yield curve of the Colombian public debt market
title_full On the volatility of the yield curve of the Colombian public debt market
title_fullStr On the volatility of the yield curve of the Colombian public debt market
title_full_unstemmed On the volatility of the yield curve of the Colombian public debt market
title_sort On the volatility of the yield curve of the Colombian public debt market
dc.creator.fl_str_mv Sánchez, José Miguel
Trespalacios Carrasquilla, Alfredo
dc.contributor.author.spa.fl_str_mv Sánchez, José Miguel
Trespalacios Carrasquilla, Alfredo
dc.contributor.affiliation.spa.fl_str_mv Universidad de Antioquia
Instituto Tecnológico Metropolitano
dc.subject.none.fl_str_mv E43
E44
topic E43
E44
temporary structure of interest rates
Volatility
Autoregressive vectors
Principal components
Causality
Estructura temporal de las tasas de interés
Volatilidad
Vectores autorregresivos
Componentes principales
Causalidad
dc.subject.keyword.eng.fl_str_mv temporary structure of interest rates
Volatility
Autoregressive vectors
Principal components
Causality
dc.subject.keyword.spa.fl_str_mv Estructura temporal de las tasas de interés
Volatilidad
Vectores autorregresivos
Componentes principales
Causalidad
description This paper estimates the volatility of the Temporary Structure of Interest Rates (ETTI) of the Colombian public debt market and explains its relationship with macroeconomics fundamentals. Starting from the parametric model proposed by Nelson and Siegel (1987), the ETTI is estimated in order to capture the conditional volatility component with the Autoregressive Conditional Heteroskedasticity models (ARCH). Subsequently the relationship with the macroeconomic variables such as the gross domestic product ( y ), the general price level ( ? ), the monetary policy interest rate ( i ) and the risk country ( r ) is evaluated through impulse-response function of the Structural Vector Autoregressive models (SVAR) and the Granger causality tests. The results show that the volatility of the ETTI of the Colombian public debt market has asymmetric effects and there are causal relationships in both directions with some of the macroeconomic variables. However, when there are shocks among them, there are only significant unidirectional responses from macroeconomics to ETTI volatility and not in the opposite direction.
publishDate 2018
dc.date.available.none.fl_str_mv 2018-11-09T18:17:56Z
dc.date.issued.none.fl_str_mv 2018-06-18
dc.date.accessioned.none.fl_str_mv 2018-11-09T18:17:56Z
dc.date.none.fl_str_mv 2018-06-18
dc.type.eng.fl_str_mv info:eu-repo/semantics/article
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dc.type.local.spa.fl_str_mv Artículo
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dc.identifier.issn.none.fl_str_mv 2462-8107
1657-4206
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/13121
dc.identifier.doi.none.fl_str_mv 10.17230/ecos.2017.46.2
identifier_str_mv 2462-8107
1657-4206
10.17230/ecos.2017.46.2
url http://hdl.handle.net/10784/13121
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language spa
dc.relation.isversionof.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/volatility-of-the-yield-curve-of-the-colombian-public-debt-market
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dc.rights.eng.fl_str_mv Copyright (c) 2018 José Miguel Sánchez, Alfredo Trespalacios Carrasquilla
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 Copyright (c) 2018 José Miguel Sánchez, Alfredo Trespalacios Carrasquilla
Acceso abierto
http://purl.org/coar/access_right/c_abf2
dc.format.none.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Universidad EAFIT
dc.source.none.fl_str_mv instname:Universidad EAFIT
reponame:Repositorio Institucional Universidad EAFIT
dc.source.eng.fl_str_mv Ecos de Economía: A Latin American Journal of Applied Economics; Vol 22, No 46 (2018)
dc.source.spa.fl_str_mv Ecos de Economía: A Latin American Journal of Applied Economics; Vol 22, No 46 (2018)
instname_str Universidad EAFIT
institution Universidad EAFIT
reponame_str Repositorio Institucional Universidad EAFIT
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spelling 2018-06-182018-11-09T18:17:56Z2018-06-182018-11-09T18:17:56Z2462-81071657-4206http://hdl.handle.net/10784/1312110.17230/ecos.2017.46.2This paper estimates the volatility of the Temporary Structure of Interest Rates (ETTI) of the Colombian public debt market and explains its relationship with macroeconomics fundamentals. Starting from the parametric model proposed by Nelson and Siegel (1987), the ETTI is estimated in order to capture the conditional volatility component with the Autoregressive Conditional Heteroskedasticity models (ARCH). Subsequently the relationship with the macroeconomic variables such as the gross domestic product ( y ), the general price level ( ? ), the monetary policy interest rate ( i ) and the risk country ( r ) is evaluated through impulse-response function of the Structural Vector Autoregressive models (SVAR) and the Granger causality tests. The results show that the volatility of the ETTI of the Colombian public debt market has asymmetric effects and there are causal relationships in both directions with some of the macroeconomic variables. However, when there are shocks among them, there are only significant unidirectional responses from macroeconomics to ETTI volatility and not in the opposite direction.En este trabajo se estima la volatilidad de la estructura temporal de las tasas de interés (ETTI) del mercado colombiano de deuda pública y se explica su relación con los fundamentales macroeconómicos. A partir del modelo paramétrico propuesto por Nelson y Siegel (1987), se estima la ETTI con el fin de capturar el componente de volatilidad condicional, con modelos de heterocedasticidad condicional autorregresiva (ARCH, por sus siglas en inglés Autoregressive Conditional Heteroskedasticity). A continuación, se evalúa su relación con variables macroeconómicas como el producto interno bruto ( ), el nivel general de precios ( ), la tasa de interés de política monetaria ( ) y el riesgo país ( , a través de las funciones impulso-respuesta de los modelos de vectores autorregresivos estructurales (SVAR, por sus siglas en inglés Strcutural Vector Autoregressive) y de las pruebas de causalidad de Granger. Los resultados muestran que la volatilidad de la ETTI del mercado colombiano de deuda pública tiene efectos asimétricos y que hay relaciones causales en ambos sentidos con algunas de las variables macroeconómicas; sin embargo, cuando se presentan choques entre ellas, solo existen respuestas significativas unidireccionales desde la macroeconomía hacia la volatilidad de la ETTI, y no en el sentido contrario.application/pdfspaUniversidad EAFIThttp://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/volatility-of-the-yield-curve-of-the-colombian-public-debt-markethttp://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/volatility-of-the-yield-curve-of-the-colombian-public-debt-marketCopyright (c) 2018 José Miguel Sánchez, Alfredo Trespalacios CarrasquillaAcceso abiertohttp://purl.org/coar/access_right/c_abf2instname:Universidad EAFITreponame:Repositorio Institucional Universidad EAFITEcos de Economía: A Latin American Journal of Applied Economics; Vol 22, No 46 (2018)Ecos de Economía: A Latin American Journal of Applied Economics; Vol 22, No 46 (2018)E43E44temporary structure of interest ratesVolatilityAutoregressive vectorsPrincipal componentsCausalityEstructura temporal de las tasas de interésVolatilidadVectores autorregresivosComponentes principalesCausalidadOn the volatility of the yield curve of the Colombian public debt marketSobre la volatilidad de la curva de rendimientos del mercado colombiano de deuda públicainfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionarticlepublishedVersionArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Sánchez, José MiguelTrespalacios Carrasquilla, AlfredoUniversidad de AntioquiaInstituto Tecnológico MetropolitanoEcos de Economía: A Latin American Journal of Applied Economics22462859ecos.econ.ORIGINALdocument (53).pdfdocument (53).pdfTexto completo PDFapplication/pdf801274https://repository.eafit.edu.co/bitstreams/3a270728-0671-4ec6-beab-eb6e786c364c/download6df88b149a468ef2939a6e5d33187cadMD51articulo.htmlarticulo.htmlTexto completo HTMLtext/html438https://repository.eafit.edu.co/bitstreams/ddd559bb-5e59-443f-a050-0463f4141c83/download8eb8532b6968e769f6418785bb6b471fMD53THUMBNAILminaitura-ecos_Mesa de trabajo 1.jpgminaitura-ecos_Mesa de trabajo 1.jpgimage/jpeg251248https://repository.eafit.edu.co/bitstreams/584198a0-9332-4626-8743-009ac9d6f30f/download9b15d674b076c1793a0bc25cebb1bcefMD5210784/13121oai:repository.eafit.edu.co:10784/131212020-03-18 11:48:25.468open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co