Abstract

CAMARO SUAREZ, Álvaro Andrés; CASAS HENAO, Arnoldo  and  JIMENEZ MENDEZ, Édgar Ricardo. The movements of zero coupon bond yield curve for TES TF and TES UVR markets in Colombia. Innovar [online]. 2005, vol.15, n.26, pp.122-133. ISSN 0121-5051.

The paper explores the movements of zero coupon bond yield curve for TES TF and TES UVR markets in Colombia applying principal components analysis (PCA) taking as period of reference September of 2003 to July of 2004. For this purpose yields of 2005-2012 maturities nodes from the Bolsa de Valores de Colombia (BVC) zero coupon bond yield curve are used. The results exert that 87.6% of the movements are explained by the level of the curve whereas the slope and curvature account for 11.48% and 0.7% of total variance.

Keywords : TES; Bonds; National debt; interest Rate; Fixed Rate and Variable Rate; Yield curve.

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