Browsing by Author "Ulate-Sancho, César"
Now showing 1 - 3 of 3
Results Per Page
Sort Options
- Una curva de rendimiento par soberana en dólares: el uso de un enfoque dinámicoWe estimate a weekly government debt in US dollars par yield curve for Costa Rica. To choose the estimation method, we analyze three parametric techniques: Nelson and Siegel’s method, Svensson’s method and a dynamic approach developed by Diebold et al.We use all Costa Rican sovereign debt in US dollars transactions in the primary and secondary market.We concentrate in transactions of fixed rate and zero-coupon bonds for the period between January 2009 and November 2021. The evaluation of the results from the three methods allow us to conclude that the dynamic approach shows a better balance between in-sample fit and out-of-sample forecast than the static methods. The main reason is that the static methods suffer of an over-fitting problem for those weeks with a small number of observations: they fit well the observed sample, but sometimes present atypical behavior for the curve sections in which there is not available information. The dynamic method fixes this problem by using past information to estimate an expected yield curve for any week, and then only use the new weekly information to adjust the estimation in those points in which the expected yield curve is far from those observed points. Therefore, we recommend using this dynamic method for estimating this yield curve.
- Metodología dinámica para el cálculo de la curva de rendimientos soberana en moneda nacionalIn this article we analyze the use of a dynamic methodology to estimate the sovereign yield curve that calculates the Central Bank of Costa Rica. This dynamic methodology is based on the one proposed by Diebold et al. (2006). We compare the performance of this approach, both in-sample and outof- sample, with the methodology that the Central Bank has been using during the last years, which is based on the static parametric methods proposed by Nelson and Siegel (1987) and Svensson (1994). We show that dynamic methodology generates a yield curve estimation that approximates market conditions better than the other methods, especially in those weeks in which we observe less transactions.
- Valoración: Banco de Costa RicaEl objetivo de este trabajo es realizar una valoración preliminar para el conglomerado financiero, Banco de Costa Rica y sus subsidiarias para establecer un rango de referencia del valor de mercado de dicha entidad pública. Para ello, se utilizan dos modelos de valoración de entidades financieras: el modelo de crecimiento de Gordon y el modelo de rentabilidad en exceso sobre el capital. En ambas metodologías se recurre a información pública y a una serie de supuestos restrictivos, pero necesarios, para realizar la valoración. A partir de los modelos seleccionados se tiene que el valor del conglomerado financiero, Banco de Costa Rica y sus subsidiarias, se ubica entre USD 1 802 millones (modelo rentabilidad en exceso sobre el capital) y USD 2 453 millones (modelo de Gordon). La principal diferencia entre ambos enfoques radica en los supuestos sobre el crecimiento y comportamiento de los flujos esperados.