Publication: Sobre la Estimación de Primas por Plazo dentro de la Estructura Temporal de Tipos de Interes
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1993
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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 ponen de manifiesto las limitaciones de los procedimientos habituales para estudiar las primas por plazo dentro de la estructura temporal de tipos de interés. Con objeto de superar estas limitaciones, se propone el uso
de modelos ARMA multivariantes. También se lleva acabo un análisis empírico de las primas por plazo en el mercado interbancario español.
This paper highlights tbe shortcomings of tbe standard procedures to study the term premia in the term structure of interest rates, and proposes a multivariate ARMA framework to deal with this problem. Also it is carried out an empirical analysis of the term premia in the Spanish interbank money market.
This paper highlights tbe shortcomings of tbe standard procedures to study the term premia in the term structure of interest rates, and proposes a multivariate ARMA framework to deal with this problem. Also it is carried out an empirical analysis of the term premia in the Spanish interbank money market.
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