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...
- 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 info:eu-repo/semantics/publishedVersion article 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 |
status_str |
publishedVersion |
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 |
dc.language.iso.spa.fl_str_mv |
spa |
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 |
dc.relation.uri.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 |
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 |
collection |
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 |