Advanced Search
MyIDEAS: Login

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


Author Info

  • René Benjamín Pérez Sicairos

    (Universidad de Occidente, Unidad Culiacán)

Registered author(s):


    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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    Download Restriction: no

    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

    as in new window
    Handle: RePEc:ega:rafega:200712

    Contact details of provider:
    Web page:
    More information through EDIRC

    Related research

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

    Find related papers by JEL classification:


    No references listed on IDEAS
    You can help add them by filling out this form.



    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:ega:rafega:200712. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (José Antonio Núñez).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.