Determinación de una estructura de plazos para el mercado de renta fija de México mediante un modelo de tres factores para la dinámica de la tasa corta

René Benjamín Pérez Sicairos ()
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René Benjamín Pérez Sicairos: Universidad de Occidente

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2007, vol. 1, issue 2, 169-182

Abstract: In this paper, we obtain an interest rate term structure to price fixed-rate assets. In such structure, we model the dynamics of the short interest rate based on the three factor model proposed by Lin-Chen (1995). Here, we use the Mexican daily funding government rate as the short term interest rate. The term structure is modeled with parameters obtained by three-stage least squares. Such parameters are used as input for Monte Carlo simulation. This approach differs from the one by Lin-Chen, who proposes an analytical solution

Keywords: Estructura de plazos de tasas de interés; tasa corta; tasa corta promedio de corto plazo; volatilidad (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200712

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