Relationship between securities that make up the yield curve of the Colombian public debt market [Relación entre títulos que conforman la curva de rendimientos del mercado de deuda pública colombiano]

Based on the information of the yield curve (CR) of Colombia, it is sought to find the existing relationships between the titles that compose it; specifically sets of two or three assets; and with this analyze whether or not there are cointegration or equilibrium relations in the long term. Taking this into account, it was found that there are cointegration relations between October 18 and July 20 for the case of peer analysis and for the case of analysis of trios, a strong relationship was found between October 2018, November 2018 and July 2020. These results are obtained optimally using a Python algorithm that looks for all possible relationships between the considered assets. This algorithm is part of the contribution of this work, and also the finding and the evidence that there are cointegrated assets in the yield curve of Colombia. With this, medium-term debt portfolio investment strategies can be designed. © 2019 AISTI.

• Fecha de publicación: 2019
• Institución: Universidad de Medellín
• Repositorio: Repositorio UDEM
• Idioma: spa
• OAI Identifier: oai:repository.udem.edu.co:11407/5683
• Acceso en línea: http://hdl.handle.net/11407/5683
• Palabra clave: Econometric Models; Fixed Income; Local TES Market; Yield Curve; Commerce; Economic analysis; Electronic trading; Information systems; Information use; Investments; Cointegration; Colombians; Econometric model; Equilibrium relations; Fixed Income; Medium term; Portfolio investment; Yield curve; Financial markets
• License: http://purl.org/coar/access_right/c_16ec