Sobre la Estimación de Primas por Plazo dentro de la Estructura Temporal de Tipos de Interes
| dc.contributor.author | Flores de Frutos, Rafael | |
| dc.date.accessioned | 2023-06-21T01:36:25Z | |
| dc.date.available | 2023-06-21T01:36:25Z | |
| dc.date.issued | 1993 | |
| dc.description.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. | |
| dc.description.abstract | 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. | |
| 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/27473 | |
| dc.identifier.relatedurl | http://www.ucm.es/centros/webs/fccee/ | |
| dc.identifier.relatedurl | https://economicasyempresariales.ucm.es/working-papers-icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/64139 | |
| dc.issue.number | 02 | |
| dc.language.iso | spa | |
| dc.page.total | 28 | |
| dc.publication.place | Madrid | |
| 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-CompartirIgual 3.0 España | |
| dc.rights.accessRights | open access | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/3.0/es/ | |
| dc.subject.keyword | Estimación de primarias | |
| dc.subject.keyword | Tipos de interés | |
| dc.subject.ucm | Bancos y cajas | |
| dc.title | Sobre la Estimación de Primas por Plazo dentro de la Estructura Temporal de Tipos de Interes | |
| dc.type | technical report | |
| dc.volume.number | 1993 | |
| dcterms.references | Ayuso, Juan, Alfonso Novales y María L. de la Torre (1989), "¿Incorporan los Tipos del Interbancario una Evaluación del Riesgo?" Documento de trabajo, No. 90-08, FEDEA. Black, Fisher (1976), "Studies in Stock Price Volatility changes", Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section, American Statistical Association: 177-181. Box, G.E.P. y G.M. Jenkins (1970), Time Series Analysis Forecasting and control, San Francisco: Holden Day. Engle, Robert F., David M. Lilien y Russell P. Robins (1987), "Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model", Econometrica, Vol.55, No. 2: 391-407. Fama, Eugene F. (1976), "Inflation Uncertainty and Expected Return on Treasury Bills", Journal of Political Economy, Vol. 84: 427-448. Freixas, Xavier y Alfonso Novales (1991), "Primas de Riesgo y Cambio de Habitat", Documento de trabajo, No. 91-08, FEDEA. Friedman, Benjamin M. (1980), "Survey Evidence on the 'Rationality' of Interest Rate Expectations", Journal of Monetary Economics 6: 453-465. Granger, Clive W.J. (1981), "Some Properties of Time Series Data and Their Use in Econometric Model specification", Journa1 of Econometrics 16: 121-130. Hall, Anthony D., Heather M. Anderson y Clive W.J. Granger (1992), "A cointegration Analisis of Treasury Bill Yields", The Review of Economics and statistics, Vol. 74, No. 1: 116-125. Hicks, J.R. (1939), Value and Capital, Oxford university Press. Jenkins, G.M. y A.S. Alavi (1981), "Some Aspects of Modellinq and Forecasting Multivariate Time Series", Journal of Time Series Analysis 2: 1-47. Jones, David S. y V. Vance, Roley (1983), "Rational Expectations and the Expectation Model of the Term Structure", Journal of Monetary Economics 12: 453-465. Kane, Edward J. y Burton, Malkiel (1967), "The Term Structure of Interest Rates: An Analysis of a survey of Interest Rate Expectations", Review of Economics and statistics 69: 343-55. Mankiw, N.G. Y L.H. Sumrners (1984), "Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?", BrQokings Papers of Economic Activity, Vol. 00: 223-242. Mcculloch, J. Huston (1975), "An Estimate of the Liquidity Premium", Journal of Political Economy 83: 95-119. Meiselman, David (1962), The Term structure of Interest Rates, Englewood Cliffs, N.J.: Prentice-Hall. Modigliani, Franco y Robert J. Shil1er (1973), "Inflation, Rational Expectations and the Term Structure of Interest Rates", Economica, 40: 12-43. Modigliani, Franco y Richard Sutch (1966) "Innovations in Interest Rate Policy", American Economic Review. Papers and Proc. 56: 178-97. Zellner, Arnold y Franz Palm (1974), "Time series Analysis and Simultaneous Equation Econometric Models", Journal of Econometrics 2: 17-54. | |
| dspace.entity.type | Publication |
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