Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/299017 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 10 [Issue:] 2 [Year:] 2021 [Pages:] 179-200
Publisher: 
Sciendo, Warsaw
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.
Subjects: 
Term structure
Nelson-Siegel
Preferred habitat theory
JEL: 
G12
E43
C53
C58
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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