En este trabajo se investigan los mecanismos que ponen en relacion la formacion de precios en los mercados interbancarios nacionales y en el euromercado, con especial atencion al caso de la peseta. Teniendo en cuenta el funcionamiento en detalle de ciertas operaciones de arbitraje entre los...

This paper analyzes the implications of a general representative agent intertemporal asset pricing model on the determination of the short term interest rates. The model includes an extension of the Non-expected Utility Isoelastic Preferences that incorporates non-separability between private...

In this paper we look to model the volatility of money market interest rates -and the transmission of volatility- along the money market yield curve in four countries: the UK, Germany, France and Spain. We use a conditional variance specification which is based on Nelson's Exponential ARCH. We...

La estimacion de la funcion de probabilidad de los tipos esperados proporciona indicadores que ayudan a evaluar los efectos de los shocks monetarios y financieros. Esta estimacion es posible utilizando la informacion recogida en los mercados de opciones sobre tipos de interes. En este trabajo se...

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In this paper we decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia using an affine model that takes as factors the observed inflation rate and the parameters generated in the zero yield curve estimation. We apply this model to the Spanish economy...

This paper analyses the behaviour of real interest rates in the Spanish economy over the last 15 years. Since inflation-indexed-bonds are not available, changes in implicit real interest rates are estimated using several approaches suggested by macroeconomic and financial theory. In particular,...

Using data on marginal interest rates of loan and deposit products by Spanish banks, we find that the level of interest rates on loans (deposits) across geographic markets decrease (increase) with the number of banks in each market, and that the level of interest rates on loans increases with...