Modelación discreta de la estructura de tasas de interés nominales, el caso de colombia 2004 – 2013 / A discrete modeling of the structure of nominal interest rates, colombia´s case 2004 – 2013

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Published Jan 1, 2015

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Francisco Javier Hernández Caballero
Universidad Simón Bolívar y Corporación Universitaria Americana

Abstract

The study of the rate structures, from a theoretical and empirical perspective, has always been addresed with models in a continuoustime limit. This situation can be explained because the first researches were conducted in developed capital markets. The funcionality of these rate structures derivate from the economic and financial expectations that reflect its own dynamic; which is verifiable with the interaction of variables such as the inflation or the financial activity of a country. Nevertheless, the last ones are presented with a discrete dynamic. In this paper, it was estimated a structure of nominal interest rate in a discretetime for Colombia whose main goal is to find, in this context, the theoretical interaction of the rate structure regarding certain expectations in the field of economy and finances. Methodologically, the modeling was dealt with the typical models offered by the related literature, in the dynamic version as well as the discrete one proposed by Alfaro (2011). The results obtained lead to the conclusion that the discrete modeling with the contribution of nominal rates of Treasury Bonds, Class B, are well suited and stand as a good estadistical reference to contrast the outlooks of inflation.


 


http://dx.doi.org/10.17981/econcuc.36.1.2015.27

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How to Cite
Hernández Caballero, F. J. (2015). Modelación discreta de la estructura de tasas de interés nominales, el caso de colombia 2004 – 2013 / A discrete modeling of the structure of nominal interest rates, colombia´s case 2004 – 2013. ECONÓMICAS CUC, 36(1), 95–112. Retrieved from https://revistascientificas.cuc.edu.co/economicascuc/article/view/670
Issue
Vol. 36 No. 1 (2015)
Section
Artículos.

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