Publication: Estrategias de inmunización ante posibles desplazamientos en la estructura temporal
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1997
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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Abstract
Salvo en situaciones excepcionales de compensación entre los efectos de pendiente y curvatura, los cambios experimentados por la estructura temporal en el mercado español de deuda están muy alejados de ser desplazamientos paralelos. Por tanto, se hace necesario desarrollar estrategias de inmunización vectorial. Hemos estimado el modelo de Nelson y Siegel para la curva cupón cero desde noviembre 1992 a octubre 1996. Los parámetros utilizados en dicha representación pueden interpretarse como factores explicativos de la estructura intertemporal, lo que abre múltiples posibilidades de explotación práctica de las series temporales de estimaciones generadas en este trabajo. Analizar si existe una inmunización vectorial especifica que mejora significativamente los resultados obtenidos con una inmunización basada unicamente en replicar la duración de la cartera es uno de los temas abiertos de mayor interés.
Analyzing the spanish market for public debt. we have found that slope and curvature effects on shifts of the term structure do not compensate each other. As a consequence, the time evolution of the term structure cannot be adequately represented as parallel translations. Our analysis relies on estimates of the Nelson-Siegel model between november 1992 and october 1996. We have found that the estimates represent quite accurately the distinct episodes of monetary policy over the sample perlod and, in particular, that the model summarizes tbe evolution of market expectations of future interest rate fluctuations. Our estimates can be exploited for practical purposes in a variety of ways. In particular, whetber the parametric factors inherent to the Nelson-Siegel representation can be used to design multivariate inmunization strategies remains an important practical question to be solved.
Analyzing the spanish market for public debt. we have found that slope and curvature effects on shifts of the term structure do not compensate each other. As a consequence, the time evolution of the term structure cannot be adequately represented as parallel translations. Our analysis relies on estimates of the Nelson-Siegel model between november 1992 and october 1996. We have found that the estimates represent quite accurately the distinct episodes of monetary policy over the sample perlod and, in particular, that the model summarizes tbe evolution of market expectations of future interest rate fluctuations. Our estimates can be exploited for practical purposes in a variety of ways. In particular, whetber the parametric factors inherent to the Nelson-Siegel representation can be used to design multivariate inmunization strategies remains an important practical question to be solved.
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