Publication: Tipos de interés a uno y siete días en el mercado interbancario: prima por plazo y análisis de eficiencia
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1992
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Facultad de Ciencias Económicas y Empresariales. Decanato
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Abstract
La estimación de primas por plazo, los contrastes de hipótesis acerca de sus propiedades y el análisis de sus determinantes dependen decisivamente de la validez del modelo teórico de las expectativas y del supuesto que se realice acerca del conjunto de información que manejan los agentes.
Bajo el supuesto de racionalidad de expectativas, en este trabajo se propone un método iterativo para seleccionar un conjunto de información "robusto". Dicho conjunto trata de aproximar el conjunto de información que usan los agentes para formar sus expectativas.
Utilizando dicho método y como ejemplo de aplicación práctica, se obtiene un conjunto de información robusto para el caso de los tipos a uno y siete días en el mercado interbancario español. Con este conjunto se evalúa la capacidad del modelo de las expectativas para explicar las relaciones entre dichos tipos, se calcula la prima por plazo implícita en el tipo a siete días frente al tipo a un día, se contrastan las hipótesis teóricas habituales sobre primas por plazo y se estudia la eficiencia en dichos mercados.
Term premia estimations, as well as the different tests about their values and determinants, depend on a former, fundamental assumption about the market participants information set. Under the assumption of rationality of expectations, we propose in this paper an iterative methodology to estimate a "robust" information set. Such a set can be considered as an approximation to the one actually used by market participants to compute their expectations. As an example, we obtain a "robust" information set for the one and seven days interest rates in the Spanish interbank deposit market. With this information set, we evaluate the expectations model ability to explain the relationships between those rates: the term premium implicit in the seven days rate versus the one day rate is computed, and we test both, the classical hypotheses on the term premium and the efficiency in the markets.
Term premia estimations, as well as the different tests about their values and determinants, depend on a former, fundamental assumption about the market participants information set. Under the assumption of rationality of expectations, we propose in this paper an iterative methodology to estimate a "robust" information set. Such a set can be considered as an approximation to the one actually used by market participants to compute their expectations. As an example, we obtain a "robust" information set for the one and seven days interest rates in the Spanish interbank deposit market. With this information set, we evaluate the expectations model ability to explain the relationships between those rates: the term premium implicit in the seven days rate versus the one day rate is computed, and we test both, the classical hypotheses on the term premium and the efficiency in the markets.
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