Publication: Time varying term premia and risK: The case
of the spanish interbank money market.
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1996-09
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE).
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Abstract
En este trabajo se examinan algunos procedimientos estándar utilizados para evaluar la importancia del riesgo en la explicación del comportamiento de las primas por plazo dentro de la estructura temporal de tipos de interés. Se ponen de manifiesto sus limitaciones y se propone un procedimiento alternativo basado en la utilización de modelos VARMA. Este procedimiento se ilustra con una evaluación de la importancia del riesgo, medido como en Luce (1980), en el comportamiento de dos importantes primas por plazo dentro del mercado interbancario español.
This paper examines some standard procedures, in the term structure of interest rates, for evaluating the importance of risk in explaining time varying term premia. It highlightes their shortcomings and proposes an alternative VARMA model based approach for dealing with this problem. This procedure is illustrated with the analysis of risk, measured as proposed by Luce (1980), in explaining the behavior of two important term premia in the Spanish interbank money market.
This paper examines some standard procedures, in the term structure of interest rates, for evaluating the importance of risk in explaining time varying term premia. It highlightes their shortcomings and proposes an alternative VARMA model based approach for dealing with this problem. This procedure is illustrated with the analysis of risk, measured as proposed by Luce (1980), in explaining the behavior of two important term premia in the Spanish interbank money market.
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