A Varma Approach for Estimating Term Premia: the Case of the Spanish Interbank Money Market.
This paper highlights the shortcomings of the standard approach of estimating risk premia in the term structure of interest rates. In order to overcome these limitations, a VARMA model based approach is proposed. This procedure is illustrated with the estimation of the term premium implicit in the 3...
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 1995 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/64178 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/64178 |
| Access Level: | acceso abierto |
| Palabra clave: | E43 C32 E44 Varma Approach Determination of Interest Rates Term Structure of Interest Rates Multiple Time Series Models Finantial Markets Macroeconomy. Modelos VARMA Tipos de Interés Mercados financieros Macroeconomía Finanzas 5307.14 Teoría Macroeconómica |
| Sumario: | This paper highlights the shortcomings of the standard approach of estimating risk premia in the term structure of interest rates. In order to overcome these limitations, a VARMA model based approach is proposed. This procedure is illustrated with the estimation of the term premium implicit in the 30-day interest rate with regard to the 15-day rate, in the Spanish interbank money market. |
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