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Determinación de una estructura de plazos para el mercado de renta fija de México mediante un modelo de tres factores para la dinámica de la tasa corta


  • René Benjamín Pérez Sicairos

    () (Universidad de Occidente)


In this paper, we obtain an interest rate term structure to price fixed-rate assets. In such structure, we model the dynamics of the short interest rate based on the three factor model proposed by Lin-Chen (1995). Here, we use the Mexican daily funding government rate as the short term interest rate. The term structure is modeled with parameters obtained by three-stage least squares. Such parameters are used as input for Monte Carlo simulation. This approach differs from the one by Lin-Chen, who proposes an analytical solution

Suggested Citation

  • René Benjamín Pérez Sicairos, 2007. "Determinación de una estructura de plazos para el mercado de renta fija de México mediante un modelo de tres factores para la dinámica de la tasa corta," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 1(2), pages 169-182.
  • Handle: RePEc:ega:rafega:200712

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    1. repec:hrv:faseco:30728046 is not listed on IDEAS
    2. Rafael La Porta & Florencio Lopez-De-Silanes & Andrei Shleifer, 1999. "Corporate Ownership Around the World," Journal of Finance, American Finance Association, vol. 54(2), pages 471-517, April.
    3. Franklin Allen, 2005. "Corporate Governance in Emerging Economies," Oxford Review of Economic Policy, Oxford University Press, vol. 21(2), pages 164-177, Summer.
    4. repec:hrv:faseco:30747162 is not listed on IDEAS
    5. Hoshino, Taeko, 2004. "Family Business in Mexico: Responses to Human Resource Limitations and Management Succession," IDE Discussion Papers 12, Institute of Developing Economies, Japan External Trade Organization(JETRO).
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    More about this item


    Estructura de plazos de tasas de interés; tasa corta; tasa corta promedio de corto plazo; volatilidad;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


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