En este trabajo hemos pretendido ofrecer una visión general sobre la estructura temporal de tipos de interés (ETTI). Con dicho propósito, hemos comenzado explicando el significado económico de la ETTI, para posteriormente hacer una revisión de los modelos de su estimación más empleados en...

En el presente trabajo se contrasta la Hipótesis de las Expectativas en los plazos más largos de la estructura temporal de tipos de interés. Para ello se aplica la metodología propuesta en Campbell y Shiller (1987, 1991), basada en la obtención de predicciones de los futuros cambios en los...

Resumen: ¿Cómo se incorporan la expectativas de las tasas de interés en la estructura de tipos de interés enColombia? Las dos principales teorías propuestas en este sentido son la Hipótesis de las Expectativas (HE) y laHipótesis de prima por liquidez (HPL). Este estudio contrasta ambas...

Este trabajo analiza diversos modelos multifactoriales de valoración de activos financieros con el objeto de determinar si permiten explicar de forma eficiente las variaciones de los rendimientos de los Planes de Pensiones del sistema individual en España entre 1995 y 2003 e identificar los...

This paper investigates the impact of revisions in inflation expectations on the prices of UK inflation-indexed and conventional government bonds with a vector autoregressive (VAR) model. Downwards revisions of inflation expectations are associated with unexpected increases in the prices of...

The paper develops an empirical no-arbitrage Gaussian affine term structure model to explain the dynamics of the German term structure of interest rates from 1979 through 1998. In contrast to most affine term structure models two risk factors that drive the dynamics are linked to observable...

Using a stochastic discount factor approach, we derive the exact solution for arbitrage-free bond yields for the case that the short-term interest rate follows a threshold process with the intercept switching endogenously. The yield functions, mapping the one-month rate into n-period yields,...

We investigate the effects of official fiscal data and creative accounting signals on interest rate spreads between bond yields in the European Union. Our model predicts that risk premia contained in government bond spreads should increase in both, the official fiscal position and the expected...

We investigate the effect of fiscal institutions such as the strength of the finance minister in the budget process and deficits on interest spreads contained in bond yields of the countries now belonging to the Eurozone. Deficits significantly increase risk premia measured by relative swap...

This paper studies a nonlinear one-factor term structure model in discrete time. The single factor is the short-term interest rate, which is modeled as a self-exciting threshold autoregressive (SETAR) process. Our specification allows for shifts in the intercept and the variance. The process is...