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Un Contraste Alternativo De La Hipótesis De Las Expectativas En Swaps De Tipos De Interés

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  • Pilar Abad Romero
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    Abstract

    En este trabajo se contrasta la hipótesis de las expectativas (HE) sobre la estructura temporal (ETTI) obtenida con datos de swaps de tipos de interés (IRS) nominados en marco alemán, dólar USA y yen japonés. La evidencia aportada rechaza el cumplimiento de las implicaciones de la HE sobre las relaciones de equilibrio a largo plazo entre las rentabilidades de esta ETTI. Posteriormente, se propone un nuevo marco sobre el que contrastar la HE, distinguiendo entre las implicaciones sobre los componentes permanentes-comunes y sobre los transitorios-específicos de las rentabilidades que forman la ETTI. En este contexto, la evidencia presentada está a favor de la HE.

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    File URL: http://webs.uvigo.es/x06/sites/default/files/wp0306.pdf
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    Bibliographic Info

    Paper provided by Universidade de Vigo, Departamento de Economía Aplicada in its series Working Papers with number 0306.

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    Length: 22 pages
    Date of creation: Apr 2003
    Date of revision:
    Handle: RePEc:vig:wpaper:0306

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    Related research

    Keywords: Swaps de tipos de interés; estructura temporal; hipótesis de las expectativas;

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