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Exploring The Spanish Interbank Yield Curve

Author

Listed:
  • Leandro Navarro

    (Instituto Nacional de Estadística)

  • Enrique M. Quilis

    (Instituto Nacional de Estadística)

Abstract

. Financial indicators play an important role in short-term monitoring due to its sensitivity to general macroeconomic conditions, their forward-looking nature, and also because of the fast availability of its data of very high frequency. In order to assess this role, we perform an econometric exploration of the interest rates of the Spanish interbank market. First, we estimate a transformation of their yield curve according to a VARMA model-based canonical and principal component analysis. The transformed indicators measure different and independent sources of variability of the observed yield curve and improve the interpretation and analysis of financial conditions. In the second step we analyze the stochastic properties of the transformed yield curve in order to asses their potential role for short-term monitoring, monetary policy, and risk management.

Suggested Citation

  • Leandro Navarro & Enrique M. Quilis, "undated". "Exploring The Spanish Interbank Yield Curve," Working Papers 25-03 Classification-JEL , Instituto de Estudios Fiscales.
    • Handle: RePEc:hpe:wpaper:y:2003:i:25
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