Time varying term premia and risK: The case
of the spanish interbank money market.
| dc.contributor.author | Robles Fernández, María Dolores | |
| dc.contributor.author | Flores de Frutos, Rafael | |
| dc.date.accessioned | 2023-06-21T01:38:48Z | |
| dc.date.available | 2023-06-21T01:38:48Z | |
| dc.date.issued | 1996 | |
| dc.description.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. | |
| dc.description.abstract | 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. | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/30765 | |
| dc.identifier.relatedurl | http://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/64243 | |
| dc.issue.number | 12 | |
| dc.language.iso | eng | |
| dc.page.total | 33 | |
| dc.publication.place | Madrid, España | |
| dc.publisher | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE). | |
| dc.relation.ispartofseries | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE). | |
| dc.rights | Atribución-NoComercial 3.0 España | |
| dc.rights.accessRights | open access | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc/3.0/es/ | |
| dc.subject.keyword | Prima de riesgo | |
| dc.subject.keyword | Tipos de interés | |
| dc.subject.keyword | Modelos VARMA | |
| dc.subject.keyword | Mercado interbancario español. | |
| dc.subject.keyword | Determination of interest rates | |
| dc.subject.keyword | Term structure of interest rates | |
| dc.subject.keyword | Multiple Time Series Models | |
| dc.subject.keyword | Finantial Markets | |
| dc.subject.keyword | Macroeconomy. | |
| dc.subject.ucm | Econometría (Economía) | |
| dc.subject.ucm | Mercados bursátiles y financieros | |
| dc.subject.unesco | 5302 Econometría | |
| dc.title | Time varying term premia and risK: The case of the spanish interbank money market. | |
| dc.type | technical report | |
| dc.volume.number | 1996 | |
| dcterms.references | Box, G.E.P., and Tiao, G.C. (1975) "Intervention analysis with applications to economic and environmental problems", Journal of the American Statistical Association, 70, 70-79. Campbell, J.Y. (1987) "Stock returns and the term structure", Journal of Financial Economics, 18, 373-399. Engle, R.F., Lilien, D.M. and Robins, R.P. (1987) "Estimating time varying risk premia the term structure: The ARCH-M model", Econometrica, 55, 391-407. Fama, E.F. (1976a) "Inflation uncertainty and expected return on Treasury bills". Journal of Political Economics, 84, 135-162. Fama, E. F. (1976b) "Forward rates as predictors of future spot rates". Journal of Financial Economics, 3, 316-337. Flores, R. (1995a) "A VARMA approach to estimating term premia: The case of the Spanish interbank money market",Applied Financial Economics, 5, 409-418. Flores, R. (1995b) "Estimación de las primas por plazo sobre tipos de interés en un contexto multivariante", Revista Española de Economía, 12, 191-218. Freixas, X. and Novales, A (1992) "Primas de riesgo y cambio de habitat". Revista Española de Economía, Monográfico: Mercados Financieros Españoles, 135-162. Granger, C.W.J. and Ding, Z. (1993) "Some properties of absolute return: An alternative measure of risk", U. California, San Diego, Discussion Paper 93-38. Granger, C.W.J. and Ding, Z. (1994) "Stylized facts on the temporal and distributional properties of daily data from speculative markets", U. California, San Diego, Mimeo. Hall, A.D., Anderson, H.M. and Granger, C.W.J. (1992) "A cointegration analysis of treasury bill yield" The Review of Economics and Statistics, 74, 116-125. Hillmer, A.D. and Tiao, G.C. (1979) "Likelihood function of stationary multiple autoregressive moving average models", Journal of the American Statistical Association, 79, 652-660. Hum, A.S., Moody, T. and Muscatelli, V.A. (1995) "The term structure ofinterest rates in the London interbank market", Oxford Economic Papers, 47, 418-436. Jenkins, G.M. and Alavi, A.S. (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", Journal of Economics Dynamics and Control, 12, 231-254. Jones, D.S. and Rolley, V.V. (1983) "Rational expectations and the expectation model of the term structure", Journal of Monetary Economics, 12, 453-465. Keim, D.B. and Stambaugh, R.F. (1986) "Predicting returns in the stock and bond markets", Journal of Financial Economics, 17, 327-390. Luce, R.D. (1980) "Several possible measures of risk", Theory and Decision, 12, 217-228. Mishkin, F.S. (1982) "Monetary policy and short-term interest rates: An efficient markets-rational expectations approach", Journal of Monetary Economics, 37, 63-72. Modigliani, F. and Shiller, R.J. (1973) "Inflation, rational expectations and the term structure of interest rates", Economica, 40, 12-43. Nelson C.R. (1972) "Estimation of the term premiums from average yield differentials in the term structure of interest rates", Econometrica, 40, 277-287. 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, 461-472. Shiller, R.J. and McCulloch J.H. (1990) "The term structure of interest rates". Handbook of Monetary Economics, V. I, 626-723. Shiller, R.J., Campbell, J.Y. and Schoenholtz, K.L. (1983) "Forward rates and future policy: Interpreting the term structure of interest rates'', Brookings Papers on Economic Activity, 1, 173-217. Taylor, M.P. (1992) "Modeling the yield curve", Economic Journal, 102, 524-537. | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | fac00adf-67d0-467f-a944-c3830f5ddb54 | |
| relation.isAuthorOfPublication.latestForDiscovery | fac00adf-67d0-467f-a944-c3830f5ddb54 |
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