EXPLORING THE SPANISH INTERBANK YIELD CURVE

Leandro Navarro () and Enrique M. Quilis ()
Additional contact information
Leandro Navarro: Instituto Nacional de Estadística
Enrique M. Quilis: Instituto Nacional de Estadística

Working Papers from Instituto de Estudios Fiscales

Abstract: . Financial indicators play an important role in short-term monitoring due to its sensitivity to general macroeconomic conditions, their forward-looking nature, and also because of the fast availability of its data of very high frequency. In order to assess this role, we perform an econometric exploration of the interest rates of the Spanish interbank market. First, we estimate a transformation of their yield curve according to a VARMA model-based canonical and principal component analysis. The transformed indicators measure different and independent sources of variability of the observed yield curve and improve the interpretation and analysis of financial conditions. In the second step we analyze the stochastic properties of the transformed yield curve in order to asses their potential role for short-term monitoring, monetary policy, and risk management.

Keywords: yield curve; financial indicators; leading indicators; VARMA models; factor analysis; cointegration analysis. (search for similar items in EconPapers)
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.ief.es/documentos/recursos/publicaciones/papeles_trabajo/2003_25.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.ief.es:443 (Bad file descriptor) (http://www.ief.es/documentos/recursos/publicaciones/papeles_trabajo/2003_25.pdf [302 Moved Temporarily]--> https://www.ief.es/documentos/recursos/publicaciones/papeles_trabajo/2003_25.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hpe:wpaper:y:2003:i:25

Access Statistics for this paper

More papers in Working Papers from Instituto de Estudios Fiscales Contact information at EDIRC.
Bibliographic data for series maintained by Miguel Gómez de Antonio ().