Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis


Autoria(s): Rodriguez Revilla, Cristhian Andres
Contribuinte(s)

Castro Iragorri, Carlos Alberto

Data(s)

18/02/2016

Resumo

In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast.

Universidad del Rosario

Formato

application/pdf

Identificador

http://repository.urosario.edu.co/handle/10336/11956

Idioma(s)

spa

Publicador

Facultad de Economía

Direitos

info:eu-repo/semantics/openAccess

Fonte

instname:Universidad del Rosario

reponame:Repositorio Institucional EdocUR

Diebold, F.X., Li, C., 2006.Forecasting the term structure of government bond yields.Econometrics. 130, pp. 337-364.

Palavras-Chave #Finanzas #Negociaciones internacionales #Economía internacional #332
Tipo

info:eu-repo/semantics/masterThesis

info:eu-repo/semantics/acceptedVersion