<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>Following (Almeida, Ardison, Kubudi, Simonsen, &amp; 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.</p>
</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.

A Segmented and Observable Yield Curve for Colombia

Journal of Central Banking Theory and Practice

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"A Segmented and Observable Yield Curve for Colombia"}

Following (Almeida, Ardison, Kubudi, Simonsen, & Vicente, 2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily...

A Segmented and Observable Yield Curve for Colombia

Publié en ligne: 12 mai 2021

Pages: 179 - 200

Reçu: 27 nov. 2019

Accepté: 28 avr. 2020

DOI: https://doi.org/10.2478/jcbtp-2021-0019

Mots clés
Term structure, Nelson-Siegel, Preferred habitat theory

© 2021 Carlos Castro-Iragorri et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

A Segmented and Observable Yield Curve for Colombia

Publié en ligne: 12 mai 2021

Pages: 179 - 200

Reçu: 27 nov. 2019

Accepté: 28 avr. 2020

DOI: https://doi.org/10.2478/jcbtp-2021-0019

Mots clésTerm structure, Nelson-Siegel, Preferred habitat theory

© 2021 Carlos Castro-Iragorri et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Mots clés
Term structure, Nelson-Siegel, Preferred habitat theory