Un modelo de tres factores con un parámetro de sensibilidad de mercado para estimar la dinámica de la tasa corta: Una aplicación para la tasa de fondeo gubernamental de México
[A three-factor model with a market sensitivity parameter to estimate the dynamics of the short rate: An application for the Mexican government funding rate]
AbstractIn this study we develop a three-factor model of the term structure of interest rates that includes a market sensitivity parameter. In the model the future short-rate depends on the current short-rate, the short-term mean of the short rate and the current volatility of the short-rate. The parameter measures the impact of the volatility on the short rate. The model is used to estimate the dynamics of the Mexican short rate. The methodology to estimate the term structure uses three-stage least squares (3SLS) and full-information maximum likelihood (FIML) estimations and Monte Carlo simulations. The results suggest that the model fits better than the CIR one to describe and predict the Mexican government funding rate.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 26631.
Date of creation: 12 Nov 2010
Date of revision:
term structure; short rate; market sensitivity; government funding rate; Mexico;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-20 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Koedijk, C.G. & Nissen, F. & Schotman, P.C. & Wolff, C.C.P., 1997. "The dynamics of short-term interest rate volatility reconsidered," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3108628, Tilburg University.
- Diether Beuermann & Antonios Antoniou & Alejandro Bernales, 2005. "The Dynamics of the Short-Term Interest Rate in the UK," Finance 0512029, EconWPA.
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