Análisis empírico de la relación entre las tasas de interés forward subyacentes al mercado Mexicano de swaps de TIIE
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.
Volume (Year): 2 (2008)
Issue (Month): 1 ()
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