Forecasting the term structure of interest rates : Macro-economic and co-integration analysis for Colombia data

Acuña Trujillo, Pierre Ricardo

doi:https://doi.org/10.48713/10336_19127

Ítem

Acceso Abierto

Forecasting the term structure of interest rates : Macro-economic and co-integration analysis for Colombia data

http://repository.urosario.edu.co/handle/10336/19127
https://doi.org/10.48713/10336_19127

Autores

Acuña Trujillo, Pierre Ricardo

Archivos

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Fecha

2018-02-18

Directores

Rodriguez Revilla, Cristhian Andres

Castro, Carlos

Editor

Universidad del Rosario

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Métricas alternativas

Resumen

Esta tesis pretende pronosticar la estructura de términos de la tasa de interés para Colombia, tomando el procedimiento de dos pasos implementado por (Diebold & Li (2006)); sin embargo, propone alternativas para el enfoque del factor dinámico en la segunda etapa, dependiendo de la estructura presentada por los datos, se agrega un análisis de estacionariedad y cointegración para corregir cualquier especificación erronea, además, para tener más control en los choques externos al modelo, se incorporan algunas variables macroeconómicas relacionadas con la estructura de términos como (Ang y Piazzesi (2003 ), Ang et al. (2006)).

Abstract

This thesis takes the two step procedure implemented by (Diebold & Li (2006)) in which yields at different maturities are anticipated in time; however it proposes alternatives for the dynamic factor approach in the second stage depending in the structure presented by the data, for example, due to poor forecast using the VAR-1 of factors in levels (Rodriguez Revilla et al. (2016)) a stationarity and co-integration analysis are added to correct any miss specification, besides, in order to have more control in shocks coming from outside the model, some macro-economic variables correlated with the term structure are incorporated as (Ang & Piazzesi (2003), Ang et al. (2006)). Results show that having more information placed in exogenous variables does not improve any scenario in which these same observations are ignored, instead, it can diminish the quality of forecast; On the other hand, when any miss specification coming from non-stationary factors are corrected, some improvements can be achieved in particular for medium and long term bonds these corrections show equal performance of a random walk.