Affine Term Structure Models: Forecasting the Yield Curve for Colombia

Mateo Velásquez-Giraldo and Diego Restrepo-Tobon ()

Lecturas de Economía, 2016, issue 85, 53-90

Abstract: Superior modeling of the yield curve is useful for asset pricing, financial planning, and risk management. In this article, we estimate five affine term structure models using daily data for Colombia. We find that a three-factor model outperforms the other models in one and five day ahead forecasts. The model factors closely mimic empirical proxies for the level, the slope, and the curvature of the yield curve in Colombia.

Keywords: term structure; forecasting; interest rates; multifactor models (search for similar items in EconPapers)
JEL-codes: G12 G17 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:lde:journl:y:2016:i:85:p:53-90

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DOI: 10.17533/udea.le.n85a02

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