哥伦比亚的分段可观测产量曲线

IF 1.7 Q3 BUSINESS, FINANCE

Journal of Central Banking Theory and Practice Pub Date : 2021-05-01 DOI:10.2478/jcbtp-2021-0019

Carlos Castro-Iragorri, Juan Felipe Peña, Cristhian Rodríguez

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引用次数: 0

摘要

摘要如下（Almeida，Ardison，Kubudi，Simonsen，&Vicente，2018），我们使用哥伦比亚的每日可观察债券价格和短期银行间利率，实现了收益率曲线的分段三因素Nelson-Sigel模型。每个分段（短期、中期和长期）的灵活估计提供了对经典Nelson-Sigel方法的改进，特别是在样本内和样本外预测性能方面。基于可观察债券价格的分段期限结构模型提供了一种更接近从业者需求的工具，可以复制市场报价，并允许在曲线的不同部分出现独立的局部冲击。

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A Segmented and Observable Yield Curve for Colombia

Abstract Following (Almeida, Ardison, Kubudi, Simonsen, & Vicente, 2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term interbank rates for Colombia. The flexible estimation for each segment (short, medium, and long) provides an improvement over the classical Nelson-Siegel approach in particular in terms of in-sample and out-of-sample forecasting performance. A segmented term structure model based on observable bond prices provides a tool closer to the needs of practitioners in terms of reproducing the market quotes and allowing for independent local shocks in the different segments of the curve.

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来源期刊

Journal of Central Banking Theory and Practice BUSINESS, FINANCE-

CiteScore

2.80

自引率

57.10%

发文量

审稿时长

7 weeks

期刊介绍： Journal of Central Banking Theory and Practice is a scientific journal dedicated to publishing quality papers and disseminating original, relevant and applicable economic research. Scientific and professional papers that are published in the Journal of Central Banking Theory and Practice cover theoretical and practical aspects of central banking, monetary policy, including the supervision issues, as well as banking and management in central banks. The purpose of the journal is to educate the general public about the key issues that the central bankers globally face, as well as about contemporary research and achievements in the field of central banking theory and practice.