IDEAS home Printed from https://ideas.repec.org/a/ega/rafega/200804.html
   My bibliography  Save this article

Análisis empírico de la relación entre las tasas de interés forward subyacentes al mercado Mexicano de swaps de TIIE

Author

Listed:
  • Jesús Bravo Pliego

    () (HSBC)

Abstract

In this paper, the degree of relationship among the underlying forward interest rates to the Mexican TIIE-28-day swap interest rate curve is analyzed. It is empirically found that there are strong correlations between term-adjacent forward interest rates, but such correlations become weak when the "distance" (in the term structure) between them increases. This is in line with the preferred habitat theory of Modigliane and Stuch (1966), and it suggests that the models for adjusting, calibrating or analyzing the Mexican interbank interest rate curve should incorporate some relationship among the forward interest rates

Suggested Citation

  • Jesús Bravo Pliego, 2008. "Análisis empírico de la relación entre las tasas de interés forward subyacentes al mercado Mexicano de swaps de TIIE," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 2(1), pages 44-57.
  • Handle: RePEc:ega:rafega:200804
    as

    Download full text from publisher

    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2008V2A4Bravo.pdf
    Download Restriction: no

    More about this item

    Keywords

    Tasa de interés spot y forward; bootstrapping; correlación; swaps de TIIE-28 días;

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ega:rafega:200804. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (José Antonio Núñez). General contact details of provider: http://edirc.repec.org/data/emitemx.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.