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Term Structure Of Interest Rates Analysis In The Spanish Market

Author

Listed:
  • Barberà Mariné, M.G.
  • Garbajosa Cabello, M.J.
  • Guercio, M.B.

    (Rovira i Virgili University)

Abstract

The Term Structure of Interest Rates (TSIR) makes it possible to analyze investors’ expectations of future interest rates. This study aims to make a comparative analysis of the TSIR to determine whether investors modify their expectations in such a turbulent financial scenario as the present one. The TSIR was estimated, in july 2007 and july 2008, using McCulloch’s quadratic splines and fuzzy regressions.

Suggested Citation

  • Barberà Mariné, M.G. & Garbajosa Cabello, M.J. & Guercio, M.B., 2008. "Term Structure Of Interest Rates Analysis In The Spanish Market," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 53-62, November.
    • Handle: RePEc:fzy:fuzeco:v:xiii:y:2008:i:2:p:53-62
    as

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    More about this item

    Keywords

    term structure of interest rates; fuzzy regression; financial crisis;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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