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Estimación dinámica de una estructura de tasas de interés para Colombia: análisis empírico con filtros de Kalman

Author

Listed:
  • Rogelio Maldonado Castano
  • Natalia Zapata Rueda
  • Javier Orlando Pantoja Robayo

Abstract

Si bien la estimaci on o ficial para Colombia de la estructura a t ermino est a dada por el modelo el cual es ampliamente aceptado y usado. El modelo se basa en el ajuste de la curva con datos disponibles hasta t-1 lo que di culta por ende la estimacion futura (en el tiempo t) de la curva cero cup on. Dada la importancia de contar con una estimaci on de la estructura a termino para la valoraci on de activos financieros en el mercado Colombiano, esta investigacion propone la construcci on de una metodolog a que permita estimar en forma din amica, con able y simple los par ametros del modelo de tasas de inter es. Para esto fue necesario hacer uso de la re-parametrizaci on propuesta, que determina la forma de la estructura at ermino a trav es de los factores latentes Nivel, Pendiente y Curvatura. Nuestra propuesta estar a enmarcada en una forma Estado - Espacio a trav es del uso de fi ltros de Kalman. Los resultados del modelo son acertados para predicciones de un periodo a futuro.

Suggested Citation

  • Rogelio Maldonado Castano & Natalia Zapata Rueda & Javier Orlando Pantoja Robayo, 2012. "Estimación dinámica de una estructura de tasas de interés para Colombia: análisis empírico con filtros de Kalman," Documentos de Trabajo de Valor Público 10631, Universidad EAFIT.
    • Handle: RePEc:col:000122:010631
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Estructura de tasas de interes; modelos estado - espacio; fi ltro de Kalman; estimacion de parametros.;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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