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Estimación de la estructura a plazo de las tasas de interés en Colombia

Author

Listed:
  • Luis Eduardo Arango
  • Luis Fernando Melo
  • Diego Mauricio Vásquez
Abstract
“En este trabajo se presenta una estimación de la estructura a plazo de las tasas de interés en Colombia, utilizando el método de Nelson y Siegel (1981). Se trata de la primera estimación realizada en el país que emplea un método de aceptación internacional. Siguiendo criterios convencionales, esta estimación supera la curva CETES de la Bolsa de Colombia. La evolución de la curva de la tasa forward permite sugerir, mediante la ayuda de algunos supuestos, una disminución en las expectativas de inflación a lo largo de 2007.”

Suggested Citation

  • Luis Eduardo Arango & Luis Fernando Melo & Diego Mauricio Vásquez, 2003. "Estimación de la estructura a plazo de las tasas de interés en Colombia," Coyuntura Económica, Fedesarrollo, vol. 33(1), pages 51-76, March.
    • Handle: RePEc:col:000438:013428
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    File URL: http://hdl.handle.net/11445/2095
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    References listed on IDEAS

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    8. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722, Elsevier.
    9. Sebastian Schich, 1999. "The information content of the German term structure regarding inflation," Applied Financial Economics, Taylor & Francis Journals, vol. 9(4), pages 385-395.
    10. McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, vol. 30(3), pages 811-830, June.
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    Citations

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    Cited by:

    1. Karim Parra, 2010. "Factores determinantes del margen entre la deuda corporativa y la deuda pública en Colombia," Revista de Economía del Rosario, Universidad del Rosario, November.
    2. Diego Mauricio Vásquez & Luis Fernando Melo, 2005. "Estimación de la estructura a plazos de las tasas de interés en Colombia por medio del método de funciones B-spline cúbicas," Revista de Economía del Rosario, Universidad del Rosario, June.
    3. Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2014. "Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano," Borradores de Economia 854, Banco de la Republica de Colombia.
    4. Diego Vásquez & Camilo Zea, 2003. "Hedging Alternatives for the Mortgage Stabilization Fund (FRECH) European Cap Options for the Real Interest Rate," Borradores de Economia 265, Banco de la Republica de Colombia.
    5. Angélica Arosemena, 2002. "Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de literatura," Borradores de Economia 223, Banco de la Republica de Colombia.
    6. Juan José Echavarría & Diego Vásquez, 2008. "Expectativas, tasa de interés y tasa de cambio: paridad cubierta y no cubierta en Colombia, 2000-2007," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, June.
    7. Carlos David Ardila-Dueñas & Hernán Rincón-Castro, 2019. "¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?," Borradores de Economia 1077, Banco de la Republica de Colombia.
    8. Luis Eduardo Arango & María Angélica Arosemena, 2003. "El Tramo Corto de la Estructura a Plazo como predictor de Expectativas de Inflación en Colombia," Borradores de Economia 264, Banco de la Republica de Colombia.
    9. Ramiro Chacón, 2004. "Estructura temporal de las tasas de interés: curva cupón cero," I Simposio Docentes de Finanzas 2613, Politécnico Grancolombiano.
    10. Raúl Castro R. & Diego A. Castro Amado & Yolanda Casallas A., 2020. "Tasa de descuento: aspectos relevantes para el licenciamiento ambiental en Colombia," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 84(1), pages 9-53, February.
    11. Luis Eduardo Arango & Andrés González & John Jairo León & Luis Fernando Melo., 2008. "Cambios de la Tasa de Política y su Efecto en la Estructura a Plazo de Colombia," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 257-291.
    12. Juan Camilo Santana, 2008. "La curva de rendimientos: una revisión metodológica y nuevas aproximaciones de estimación," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, July.

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    More about this item

    Keywords

    Tasa de Interés; Mercado de Capitales; Valoración de Activos; Colombia;
    All these keywords.

    JEL classification:

    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • J40 - Labor and Demographic Economics - - Particular Labor Markets - - - General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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