Un modelo de tres factores con un parámetro de sensibilidad de mercado para estimar la dinámica de la tasa corta: Una aplicación para la tasa de fondeo gubernamental de México
[A three-factor model with a market sensitivity parameter to estimate the dynamics of the short rate: An application for the Mexican government funding rate]
In this study we develop a three-factor model of the term structure of interest rates that includes a market sensitivity parameter. In the model the future short-rate depends on the current short-rate, the short-term mean of the short rate and the current volatility of the short-rate. The parameter measures the impact of the volatility on the short rate. The model is used to estimate the dynamics of the Mexican short rate. The methodology to estimate the term structure uses three-stage least squares (3SLS) and full-information maximum likelihood (FIML) estimations and Monte Carlo simulations. The results suggest that the model fits better than the CIR one to describe and predict the Mexican government funding rate.
|Date of creation:||12 Nov 2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Diether Beuermann & Antonios Antoniou & Alejandro Bernales, 2005. "The Dynamics of the Short-Term Interest Rate in the UK," Finance 0512029, EconWPA.
- Qiang Dai & Kenneth J. Singleton, 2000. "Specification Analysis of Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 55(5), pages 1943-1978, October.
- Suresh M. Sundaresan, 2000. "Continuous-Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, 08.
- Golob, Thomas F., 2003. "Structural equation modeling for travel behavior research," Transportation Research Part B: Methodological, Elsevier, vol. 37(1), pages 1-25, January.
- repec:ner:tilbur:urn:nbn:nl:ui:12-3108628 is not listed on IDEAS
- Christopher S. Jones, 2003. "Nonlinear Mean Reversion in the Short-Term Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 793-843, July.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:26631. 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: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.