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

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dc.contributor.authorFlores de Frutos, Rafael
dc.date.accessioned2023-06-21T01:37:18Z
dc.date.available2023-06-21T01:37:18Z
dc.date.issued1995-03
dc.description.abstractThis 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.
dc.description.abstractEn 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.
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.facultyInstituto Complutense de Análisis Económico (ICAE)
dc.description.refereedTRUE
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/28192
dc.identifier.relatedurlhttp://www.ucm.es/icae
dc.identifier.urihttps://hdl.handle.net/20.500.14352/64178
dc.issue.number04
dc.language.isoeng
dc.page.total29
dc.publication.placeMadrid, España
dc.publisherFacultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
dc.relation.ispartofseriesDocumentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
dc.rights.accessRightsopen access
dc.subject.jelE43
dc.subject.jelC32
dc.subject.jelE44
dc.subject.keywordVarma Approach
dc.subject.keywordDetermination of Interest Rates
dc.subject.keywordTerm Structure of Interest Rates
dc.subject.keywordMultiple Time Series Models
dc.subject.keywordFinantial Markets
dc.subject.keywordMacroeconomy.
dc.subject.keywordModelos VARMA
dc.subject.keywordTipos de Interés
dc.subject.keywordMercados financieros
dc.subject.keywordMacroeconomía
dc.subject.ucmFinanzas
dc.subject.ucmMacroeconomía
dc.subject.unesco5307.14 Teoría Macroeconómica
dc.titleA Varma Approach for Estimating Term Premia: the Case of the Spanish Interbank Money Market.
dc.typetechnical report
dc.volume.number1995
dcterms.referencesAyuso, J. and Torre, M.L. de la (1991), Riesgo y Volatilidad en el Mercado Interbancario, Investigaciones Económicas, 15. Banerjee, A., Dolado J., Galbraith, J.W. and Hendry, D.(1993), Co-Integration, Error-Correction, and the Econometric Analysis of Non-Stationary Data, Oxford University Press. Box, G.E.P. and Jenkins, G.M. (1970), Time Series Analysis Forecasting and Control, San Francisco: Holden Day. Engle, R. F., D. M. Lilien and R. P. Robins (1987), Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model, Econometrica, 55:2, 391-407. Fama, E. F. (1976), Inflation Uncertainty and Expected Return on Treasury Bills, Journal of Political Economy, 84, 427-448. Freixas, X. and A. Novales (1992), Primas de Riesgo y Cambio de Habitat, Revista Española de Economía, Monografía sobre Mercados Financieros Españoles, pp. 135-163. Hall, A. D., H. M. Anderson and C.W.J. Granger (1992), A Cointegration Analysis of Treasury Bill Yields, The Review of Economics and Statistics, 74:1, 116-125. Hillmer, S.C., and G.C. Tiao (1979), Likelihood Function of Stationary Multiple Autorregressive Moving Average Models, Journal of the American Statistical Association,74, 652-660. Jenkins, G,M. and A.S. Alavi (1981), Some Aspects of Modelling and Forecasting Multivariate Time Series, Journal of Time Series Analysis, 2, 1-47. Johansen, S. (1988), Statistical Analysis of Cointegration Vectors, Joumal of Economic Dynamics and Control, 12, 231-254. Jones, D. S. and V. V., Roley (1983), Rational Expectations and the Expectation Model of the Term Structure, Joumal of Monetary Economics, 12, 453-465. Mankiw, N.G. and L.H. Summers (1984), Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?, Brookings Papers of Economic Activity, 00, 223-242. McCulloch, J.H. (1993), A Reexamination of Traditional Hypotheses about the Term Structure: A Comment, The Journal of Finance, 2, 779-789. Modigliani, F. and R. Sutch (1966), Innovations in Interest Rate Policy, American Economic Review, 56, 178-197. Osterwald-Lenum, M. (1992), A Note with Fractiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics: Four Cases, Oxford Bulletin of Economics and Statistics, 54, 461-72. Shiller, R.J. and J.H. McCulloch (1987), The Term Structure of Interest Rates, NBER Working Paper, 2341.
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