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Determinación de una estructura de plazos para el mercado de renta fija de México mediante un modelo de tres factores para la dinámica de la tasa corta

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  • René Benjamín Pérez Sicairos

    (Universidad de Occidente, Unidad Culiacán)

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    Abstract

    In this paper we obtain an interest rate term structure to price fixed-rate assets. In such structure we model the dynamics of the short interest rate based on the three factor model proposed by Lin-Chen (1995). Here we use the Mexican daily funding government rate as the short interest rate. The term structure is modeled with parameters obtained by three-stage least squares. Such parameters are used as input for Monte Carlo simulation. This approach differs from the one by Lin-Chen, who proposes an analytical solution.

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    File URL: http://www.csf.itesm.mx/egade/publicaciones/articulos/ArtRen.pdf
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    Bibliographic Info

    Article provided by Tecnológico de Monterrey, Campus Ciudad de México in its journal Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics).

    Volume (Year): 1 (2007)
    Issue (Month): 2 ()
    Pages: 169-182

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    Handle: RePEc:ega:rafega:200712

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    Related research

    Keywords: Estructura de plazos de tasas de interés; tasa corta; tasa corta promedio de corto plazo; volatilidad;

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