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Análisis de las relaciones entre el tipo de interés a corto plazo y su incertidumbre en Alemania, España y Suiza

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Author Info

  • IGLESIAS VÁZQUEZ, E.M.

    (Department of Economics, School of Business and Economics, University of Exeter (Reino Unido))

  • ARRANZ PÉREZ, M.

    ()
    (Departamento de Economía Aplicada II. Facultad de Ciencias Económicas y Empresariales. Universidad de A Coruña.)

Abstract

Este trabajo estudia las relaciones que existen entre el tipo de interés a corto plazo y su incertidumbre en tres países europeos, Alemania, España y Suiza, en el periodo 1975-99. Seleccionando en cada país el modelo que mejor predicción muestral ofrece de la volatilidad, entre 7 diferentes estructuras que estimamos, mostramos como la incertidumbre que se ha generado en España y Alemania ha seguido una evolución muy similar, mientras que el caso de Suiza es completamente diferente. También se pone de manifiesto que, mientras que la volatilidad del tipo de interés en España parece tener información muy relevante en su modelización univariante, en Alemania no se encuentra esa relación; en Suiza, la incertidumbre recoge también información importante, aunque no tiene la misma relevancia que en el caso de España. This paper investigates the relationship between the short-term interest rate and its uncertainty in three european countries, Germany, Spain and Switzerland from 1975-99. Selecting in each country the model that offers the best forecast in sample of the volatility among 7 different structures, we will prove that the uncertainty has followed a very similar evolution in Spain and Germany, while in Switzerland it is completely different. Finally, we present evidence of the important information that uncertainty has in Spain for the univariate modelling of the interest rate, while in Germany this relationship does not exist. In Switzerland, uncertainty contains important information as well, although the role is not so important as in the case of Spain.

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Bibliographic Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 19 (2001)
Issue (Month): (Diciembre)
Pages: 37-47

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Handle: RePEc:lrk:eeaart:19_3_11

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Related research

Keywords: Interest rates modelling; Granger causality.;

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  1. Grier, Kevin B. & Perry, Mark J., 1998. "On inflation and inflation uncertainty in the G7 countries," Journal of International Money and Finance, Elsevier, vol. 17(4), pages 671-689, August.
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  3. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
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  5. Brenner, Robin J. & Harjes, Richard H. & Kroner, Kenneth F., 1996. "Another Look at Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 85-107, March.
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  7. Dothan, L. Uri, 1978. "On the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 59-69, March.
  8. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
  9. Dietrich-Campbell, Bruce & Schwartz, Eduardo, 1986. "Valuing debt options : Empirical evidence," Journal of Financial Economics, Elsevier, vol. 16(3), pages 321-343, July.
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