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

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...

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Autor Principal: Rodriguez Revilla, Cristhian Andres
Otros Autores: Castro, Carlos
Formato: Tesis de maestría (Master Thesis)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2016
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/11956
id ir-10336-11956
recordtype dspace
spelling ir-10336-119562019-09-19T12:37:54Z Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis Rodriguez Revilla, Cristhian Andres Castro, Carlos Term structure Out-of-sample forecasting Nelson-Siegel model Linear regression Affine models Kalman Filter Root Mean Squared Error Economía financiera Finanzas Negociaciones internacionales Economía internacional 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 2016-02-18 2016-05-04T19:10:28Z info:eu-repo/semantics/masterThesis info:eu-repo/semantics/acceptedVersion http://repository.urosario.edu.co/handle/10336/11956 spa http://creativecommons.org/licenses/by-nc-nd/2.5/co/ info:eu-repo/semantics/openAccess application/pdf Universidad del Rosario Maestría en Finanzas Cuantitativas Facultad de Economía 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.
institution EdocUR - Universidad del Rosario
collection DSpace
language Español (Spanish)
topic Term structure
Out-of-sample forecasting
Nelson-Siegel model
Linear regression
Affine models
Kalman Filter
Root Mean
Squared Error
Economía financiera
Finanzas
Negociaciones internacionales
Economía internacional
spellingShingle Term structure
Out-of-sample forecasting
Nelson-Siegel model
Linear regression
Affine models
Kalman Filter
Root Mean
Squared Error
Economía financiera
Finanzas
Negociaciones internacionales
Economía internacional
Rodriguez Revilla, Cristhian Andres
Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis
description 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.
author2 Castro, Carlos
author_facet Castro, Carlos
Rodriguez Revilla, Cristhian Andres
format Tesis de maestría (Master Thesis)
author Rodriguez Revilla, Cristhian Andres
author_sort Rodriguez Revilla, Cristhian Andres
title Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis
title_short Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis
title_full Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis
title_fullStr Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis
title_full_unstemmed Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis
title_sort estimating and forecasting the term structure of interest rates:us and colombia analysis
publisher Universidad del Rosario
publishDate 2016
url http://repository.urosario.edu.co/handle/10336/11956
_version_ 1645141077227732992
score 12,131701