Template-Type: ReDIF-Paper 1.0 
Author-Name: Juan José Víquez-Rodríguez
Author-Name-First: Juan José 
Author-Name-Last: Víquez-Rodríguez
Author-Email: viquezrj@bccr.fi.cr   
Author-Workplace-Name: Department of Economic Research, Central Bank of Costa Rica 
Author-Name: Laura Campos-Quesada
Author-Name-First: Laura
Author-Name-Last: Campos-Quesada
Author-Email: Laura.camposquesada@ucr.ac.cr
Author-Workplace-Name: University of Costa Rica 
Author-Name: Isaac Zúñiga-Arias
Author-Name-First: Isaac
Author-Name-Last: Zúñiga-Arias
Author-Email: isaac.actuario@gmail.com 
Author-Workplace-Name: University of Costa Rica
Title: Term Structure of Interest Rates in Costa Rican Colones (Zero-Coupon Curve): Methodology and Derivation of Forward Rates and the Exchange Risk Premium
Abstract:The current document consolidates the fundamental theoretical definitions for constructing the Zero-Coupon Curve in colones for the Costa Rican economy. Initially, the theoretical foundations supporting the employed methodology are presented, and the modeling of the zero-coupon curve is established, specifically adjusted for Costa Rican secondary market transactions. This includes specifying the no-arbitrage conditions that must be followed during optimization to ensure that the resulting curve aligns coherently with the theory. Subsequently, the heuristic methods used in optimizing the parameters of Svensson and Nelson-Siegel curves with constraints are explained. Finally, indicators and associated curves are developed, such as Par Yield Curve, forward rates and exchange risk premium. ***Resumen: El presente documento consolida las definiciones teóricas fundamentales para la construcción de la Curva Cero Cupón en colones para la economía costarricense. Inicialmente se presentan los fundamentos teóricos que respaldan la metodología empleada y se establece la modelación de la curva cero cupón ajustada para las transacciones de mercado secundario costarricense, especificando las condiciones de no arbitraje que deben ser seguidas por la optimización para asegurar que la curva obtenida al final sea coherente con la teoría. Posteriormente, se explican los métodos heurísticos utilizados en la optimización de los parámetros de las curvas Svensson y Nelson-Siegel con restricciones. Finalmente, se desarrollan indicadores y curvas asociadas, tales como la Curva Par, las tasas forward y la prima por riesgo cambiario.
Length: 51 pages
Creation-Date: 2025-11
Publication-Status: Published
File-URL: https://repositorioinvestigaciones.bccr.fi.cr/handle/20.500.12506/510  
File-Format: Application/pdf
Number: 2508
Classification-JEL: E43, G12, C58, C61, H63
Keywords: Nelson-Siegel, Svensson, Zero-Coupon Curve, Heuristic Optimization, Par Yield Curve, Forward Rates, Exchange Risk Premium, Curva Cero Cupón, Optimización Heurística, Curva Par, Tasas Plazo, Riesgo Cambiario
Handle: RePEc:apk:doctra:2508