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Análisis empírico de la relación entre las tasas de interés forward subyacentes al mercado Mexicano de swaps de TIIE

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  • Jesús Bravo Pliego

    ()
    (Grupo Financiero HSBC)

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    Abstract

    In this paper, the degree of the relationship amongst the underlying forward interest rates to the Mexican TIIE-28-day swap interest rate curve is analyzed. It is found empirically that there are strong correlations between term-adjacent forward interest rates, but such correlations become weak when the "distance" (in the term structure) between them increases. This is in line with the preferred habitat theory of Modigliane and Stuch (1966), and it suggests that the models for adjusting, calibrating or analyzing the Mexican interbank interest rate curve should incorporate some relationship amongst the forward interest rates.

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    File URL: http://www.csf.itesm.mx/egade/publicaciones/articulos/JesBrpVF.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): 2 (2008)
    Issue (Month): 1 ()
    Pages: 44-57

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    Handle: RePEc:ega:rafega:200804

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    Web page: http://www.ccm.itesm.mx/egap/
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    Related research

    Keywords: Tasa de interés spot y forward; bootstrapping; correlación; swaps de TIIE-28 días;

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