In this paper I discuss the modeling of the yield in discrete time. The popular Nelson-Siegel model and the Vasicek-factors model are presented in the same framework then it is simple to compare them.

The model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield curve. In this paper we propose a discrete-time version of that model by using dynamic factors, such that the model is dynamic in the sense proposed by Diebold and Li (2006). We found the exact...

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...

This document tries to show how the capital asset pricing model based on the consumption theory under uncertainty could reproduce the statistical moments of Chilean interest rates. In order to reach this objective a model like the one proposed by Lucas (1980) is simulated and the parameters of...

This paper discusses the consequences of the restricted access of COFIDE and other financial intermediaries, legally different from banks and financiers, to the monetary instruments with which the central bank provides liquidity through its window operations and its market operations. The paper...

Este ensayo explora los dilemas que enfrenta un Banco Central en la toma de decisiones de la política económica referente al nivel de la tasa de interés real y el principio de demanda efectiva. Para cumplir con este objetivo, se revisa diferentes enfoques conceptuales de la Tasa de Interés...

This article contains an essay on the negative empirical relationship between bank profitability and economic development. The working hypothesis is that this relationship is caused by the social (in)efficiency with which the different banking sectors operate. The argument uses public...

After the bankruptcy of Lehman Brothers, in September 2008, there was huge stress in the financial markets. In the money markets, the Eurosystem had to adopt measures providing liquidity to banks in order to avoid the collapse of the interbank market. In this work we analyze the changes in the...

This paper, first, reviews briefly the literature on the term structure of interest rates, citing some of the most important studies done on the topic for the Mexican case in the last years. In addition, the development of the government debt market is described. Second, evidence against the...

The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the...