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Transmisión De Volatilidad A Lo Largo De La Estructura Temporal De Swaps: Evidencia Internacional

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  • Pilar Abad Romero
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    Abstract

    El objetivo de este trabajo es contrastar la transmisión de volatilidad a través de las rentabilidades que configuran la estructura temporal (ETTI). La ETTI se obtuvo con datos de swaps de tipos de interés (IRS) nominados en marco alemán, dólar USA y yen japones. El modelo de volatilidad condicional autorregresiva en media de Glosten, Jaganathan y Runkle (1993) es usado para capturar los efectos asimétricos de las innovaciones sobre la volatilidad, así como el efecto de esta última sobre las rentabilidades, y se generaliza para introducir el efecto de la volatilidad del tipo a más corto plazo sobre el resto. Se presenta evidencia de que, durante el periodo analizado, la volatilidad se transmite desde los tipos a más corto plazo, un mes, a lo largo de la ETTI, de acuerdo con los supuestos implícitos en las políticas de estabilización de los tipos de interés llevadas a cabo por algunos bancos centrales.

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    File URL: http://webs.uvigo.es/x06/sites/default/files/wp0110.pdf
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    Bibliographic Info

    Paper provided by Universidade de Vigo, Departamento de Economía Aplicada in its series Working Papers with number 0105.

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    Length: 24 pages
    Date of creation: Oct 2001
    Date of revision:
    Handle: RePEc:vig:wpaper:0110

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    Keywords: Swaps de tipos de interés; estructura temporal; modelos de heterocedasticidad condicional autorregresiva; transmisión de volatilidad.;

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