A Varma Approach for Estimating Term Premia: the Case of the Spanish Interbank Money Market.

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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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This paper highlights the shortcomings of the standard approach of estimating risk premia in the term structure of interest rates. In order to overcome these limitations, a VARMA model based approach is proposed. This procedure is illustrated with the estimation of the term premium implicit in the 30-day interest rate with regard to the 15-day rate, in the Spanish interbank money market.
En este trabajo se ponen de manifiesto las limitaciones de los métodos tradicionales de las primas por plazo, dentro de la estructura temporal de tipos de interés. Con objeto de solucionarlas se propone un método basado en la estimación de modelos VARMA. Este procedimiento se ilustra con la estimación de la prima por plazo implícita en el tipo de interés a 30 días respecto al tipo a 15 días, en el mercado interbancario español.
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