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Un Contraste Alternativo De La Hipótesis De Las Expectativas En Swaps De Tipos De Interés

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  • Pilar Abad Romero

Abstract

En este trabajo se contrasta la hipótesis de las expectativas (HE) sobre la estructura temporal (ETTI) obtenida con datos de swaps de tipos de interés (IRS) nominados en marco alemán, dólar USA y yen japonés. La evidencia aportada rechaza el cumplimiento de las implicaciones de la HE sobre las relaciones de equilibrio a largo plazo entre las rentabilidades de esta ETTI. Posteriormente, se propone un nuevo marco sobre el que contrastar la HE, distinguiendo entre las implicaciones sobre los componentes permanentes-comunes y sobre los transitorios-específicos de las rentabilidades que forman la ETTI. En este contexto, la evidencia presentada está a favor de la HE.

Suggested Citation

  • Pilar Abad Romero, 2003. "Un Contraste Alternativo De La Hipótesis De Las Expectativas En Swaps De Tipos De Interés," Working Papers 0306, Universidade de Vigo, Departamento de Economía Aplicada.
    • Handle: RePEc:vig:wpaper:0306
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    References listed on IDEAS

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    More about this item

    Keywords

    Swaps de tipos de interés; estructura temporal; hipótesis de las expectativas;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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