Un análisis empírico del riesgo no-generado por la curva de rendimientos de bonos de los EstadosUnidos
DOI:
https://doi.org/10.17533/udea.le.n85a01Palabras clave:
riesgo de liquidez, bonos indexados a inflación, modelos afines de tasa de interés, factores no generados por la curva de rendimientos, predictibilidadResumen
Este articulo testea si la prima por riesgo de liquidez cumple con la propiedad de no ser generada por la estructura a plazos de tasas de interés en el contexto de un modelo gaussiano afín para bonos cero cupón nominales e indexados por inflación emitidos por el gobierno de los Estados Unidos. En el modelo, el riesgo de liquidez es tenido en cuenta como un factor adicional que no es generado por la curva de rendimientos, pero que mejora el pronóstico de la prima por riesgo de los bonos. Se presenta evidencia empírica que sugiere que la prima por liquidez ayuda a pronosticar la prima por riesgo de los bonos a pesar de no ser generada por la información contenida en la curva de rendimientos conjunta. Adicionalmente, se prueba que el factor de liquidez no afecta la dinámica de los bonos bajo la medida libre de riesgo, pero sí bajo la medida de probabilidad histórica. Así mismo, la variación en la prima de riesgo por liquidez predice la evolución futura de los factores tradicionales que explican la curva de...
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