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 t...

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Fecha de publicación:: 2019

Institución:: Universidad de Medellín

Repositorio:: Repositorio UDEM

Idioma:: spa

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oai_identifier_str	oai:repository.udem.edu.co:11407/5683
network_acronym_str	REPOUDEM2
network_name_str	Repositorio UDEM
repository_id_str
dc.title.none.fl_str_mv	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]
title	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]
spellingShingle	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] 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
title_short	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]
title_full	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]
title_fullStr	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]
title_full_unstemmed	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]
title_sort	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]
dc.subject.none.fl_str_mv	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
topic	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
description	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.
publishDate	2019
dc.date.accessioned.none.fl_str_mv	2020-04-29T14:53:39Z
dc.date.available.none.fl_str_mv	2020-04-29T14:53:39Z
dc.date.none.fl_str_mv	2019
dc.type.eng.fl_str_mv	Conference Paper
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_2df8fbb1
dc.type.driver.none.fl_str_mv	info:eu-repo/semantics/article
dc.identifier.isbn.none.fl_str_mv	9789899843493
dc.identifier.issn.none.fl_str_mv	21660727
dc.identifier.uri.none.fl_str_mv	http://hdl.handle.net/11407/5683
dc.identifier.doi.none.fl_str_mv	10.23919/CISTI.2019.8760982
identifier_str_mv	9789899843493 21660727 10.23919/CISTI.2019.8760982
url	http://hdl.handle.net/11407/5683
dc.language.iso.none.fl_str_mv	spa
language	spa
dc.relation.isversionof.none.fl_str_mv	https://www.scopus.com/inward/record.uri?eid=2-s2.0-85070101150&doi=10.23919%2fCISTI.2019.8760982&partnerID=40&md5=6df8a69940d2c386bfcb996de65f9d0e
dc.relation.citationvolume.none.fl_str_mv	2019-June
dc.relation.references.none.fl_str_mv	Bustamante, A.C., Obando, H.A., (2013) Gestión de Riesgos en Inversiones de Renta Fija en Colombia (2018) Nación Realiza Exitosa Colocación de $1 Billón en Títulos TES UVR de Largo Plazo: MinHacienda, , O. de Comunicaciones p. Comunicado No 10 (1990) Dario Oficial Ley 51 de 1990 Diciembre 28., (39). , 1991 Echeverri, M., Sierra, J.P., Aguilar, M., (2011) Operación Bursatil en El Mercado de Renta Fija. Fabozzi, F.J., (1989) Bond Markets, Analysis and Strategies, EIGHTH. Gonzalez, J.A., (2017) Uso de la Información de la Curva de Rendimientos de Los Títulos de Deuda Pública Colombiana para Pronosticar la Inflación Mensual y Anual de Colombia, , Medellín Arosemeda, A., Arango, L., Lecturas alternativas de la estructura a plazo: una breve revisión de literatura (2002) Borradores Econ., 223 Nelson, C.R., Siegel, A.F., Parsimonious modeling of yield curves (1987) J. Bus., 60 (4), p. 473 Granger, C.W.J., Análisis de series temporales, cointegración y aplicaciones (2004) RAE Rev. Astur. Econ., 30, pp. 197-206 Rotondi, Z., (2006) The Macroeconomy Adn the Yield Curve: A Review of the Literature with Some New Evidence Nelson, S., (1987) Estimación Del Modelo de Nelson y Siegel. Alvarez Castrillón, M.R., Ramirez Hassan, A., Rendón Barrera, A., (2011) La Curva de Rendimientos Como un Indicador Adelantado de la Actividad Económica, El Caso Colombiano: Período 2001-2009 Santana, J., La Curva De Rendimientos: Una Revisión Metodológica y Nuevas Aproximaciones De Estimación (2008) Cuad. Econ. Sambasivan, R., Das, S., (2017) A Statistical Machine Learning Approach to Yield Curve Forecasting Abbritti, M., Carcel, H., Gil-Alana, L., Moreno, A., (2017) Term Premium and Quantitative Easing in A Fractionally Cointegrated Yield Curve Banerjee, A., (2012) Testing for Panel Cointegration Using Common Correlated Effects Estimators Giese, J.V., Level, slope, curvature: Characterising the yield curve in a cointegrated var model (2008) Econ. Open-Access, Open-Assessment E-Journal, 2, pp. 1-38. , August 2004 Johansen, S., Statistical analysis of cointegration vectors (1988) J. Econ. Dyn. Control, 12 (2-3), pp. 231-254 Dickey, D.A., Fuller, W.A., Distribution of the estimators for autoregressive time series with a unit root (1979) J. Am. Stat. Assoc. JOHANSEN: Python, , https://github.com/iisayoo/johansen/blob/master/LICENSE, GitHub-iisayoo. [Accessed: 04-Feb-2019] (2014) Colombia's Weight to Be Adjusted in the GBI-EM Global Diversified and GBI-EM Global Starting May 30th, , http://www.jpmorgan.com/pages/disclosures, bloomberg
dc.rights.coar.fl_str_mv	http://purl.org/coar/access_right/c_16ec
rights_invalid_str_mv	http://purl.org/coar/access_right/c_16ec
dc.publisher.none.fl_str_mv	IEEE Computer Society
dc.publisher.program.none.fl_str_mv	Ingeniería Financiera
dc.publisher.faculty.none.fl_str_mv	Facultad de Ingenierías
publisher.none.fl_str_mv	IEEE Computer Society
dc.source.none.fl_str_mv	Iberian Conference on Information Systems and Technologies, CISTI
institution	Universidad de Medellín
repository.name.fl_str_mv	Repositorio Institucional Universidad de Medellin
repository.mail.fl_str_mv	repositorio@udem.edu.co
_version_	1814159219397492736
spelling	20192020-04-29T14:53:39Z2020-04-29T14:53:39Z978989984349321660727http://hdl.handle.net/11407/568310.23919/CISTI.2019.8760982Based 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.spaIEEE Computer SocietyIngeniería FinancieraFacultad de Ingenieríashttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85070101150&doi=10.23919%2fCISTI.2019.8760982&partnerID=40&md5=6df8a69940d2c386bfcb996de65f9d0e2019-JuneBustamante, A.C., Obando, H.A., (2013) Gestión de Riesgos en Inversiones de Renta Fija en Colombia(2018) Nación Realiza Exitosa Colocación de $1 Billón en Títulos TES UVR de Largo Plazo: MinHacienda, , O. de Comunicaciones p. Comunicado No 10(1990) Dario Oficial Ley 51 de 1990 Diciembre 28., (39). , 1991Echeverri, M., Sierra, J.P., Aguilar, M., (2011) Operación Bursatil en El Mercado de Renta Fija.Fabozzi, F.J., (1989) Bond Markets, Analysis and Strategies, EIGHTH.Gonzalez, J.A., (2017) Uso de la Información de la Curva de Rendimientos de Los Títulos de Deuda Pública Colombiana para Pronosticar la Inflación Mensual y Anual de Colombia, , MedellínArosemeda, A., Arango, L., Lecturas alternativas de la estructura a plazo: una breve revisión de literatura (2002) Borradores Econ., 223Nelson, C.R., Siegel, A.F., Parsimonious modeling of yield curves (1987) J. Bus., 60 (4), p. 473Granger, C.W.J., Análisis de series temporales, cointegración y aplicaciones (2004) RAE Rev. Astur. Econ., 30, pp. 197-206Rotondi, Z., (2006) The Macroeconomy Adn the Yield Curve: A Review of the Literature with Some New EvidenceNelson, S., (1987) Estimación Del Modelo de Nelson y Siegel.Alvarez Castrillón, M.R., Ramirez Hassan, A., Rendón Barrera, A., (2011) La Curva de Rendimientos Como un Indicador Adelantado de la Actividad Económica, El Caso Colombiano: Período 2001-2009Santana, J., La Curva De Rendimientos: Una Revisión Metodológica y Nuevas Aproximaciones De Estimación (2008) Cuad. Econ.Sambasivan, R., Das, S., (2017) A Statistical Machine Learning Approach to Yield Curve ForecastingAbbritti, M., Carcel, H., Gil-Alana, L., Moreno, A., (2017) Term Premium and Quantitative Easing in A Fractionally Cointegrated Yield CurveBanerjee, A., (2012) Testing for Panel Cointegration Using Common Correlated Effects EstimatorsGiese, J.V., Level, slope, curvature: Characterising the yield curve in a cointegrated var model (2008) Econ. Open-Access, Open-Assessment E-Journal, 2, pp. 1-38. , August 2004Johansen, S., Statistical analysis of cointegration vectors (1988) J. Econ. Dyn. Control, 12 (2-3), pp. 231-254Dickey, D.A., Fuller, W.A., Distribution of the estimators for autoregressive time series with a unit root (1979) J. Am. Stat. Assoc.JOHANSEN: Python, , https://github.com/iisayoo/johansen/blob/master/LICENSE, GitHub-iisayoo. [Accessed: 04-Feb-2019](2014) Colombia's Weight to Be Adjusted in the GBI-EM Global Diversified and GBI-EM Global Starting May 30th, , http://www.jpmorgan.com/pages/disclosures, bloombergIberian Conference on Information Systems and Technologies, CISTIEconometric ModelsFixed IncomeLocal TES MarketYield CurveCommerceEconomic analysisElectronic tradingInformation systemsInformation useInvestmentsCointegrationColombiansEconometric modelEquilibrium relationsFixed IncomeMedium termPortfolio investmentYield curveFinancial marketsRelationship 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]Conference Paperinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_2df8fbb1Cantillo, J., Universidad de Medellín, Medellín, Colombia; Arango, M., Facultad de Ingenierías, Universidad de Medellín, Universidad Nacional de Colombia, Medellín, Colombia; Gonzalez, J., Medellín, Colombia; Jaramillo, M., Universidad de Medellín, Medellín, Colombiahttp://purl.org/coar/access_right/c_16ecCantillo J.Arango M.Gonzalez J.Jaramillo M.11407/5683oai:repository.udem.edu.co:11407/56832020-05-27 18:30:30.734Repositorio Institucional Universidad de Medellinrepositorio@udem.edu.co

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]

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