Análisis empírico de la relación entre las tasas de interés forward subyacentes al mercado Mexicano de swaps de TIIE

Jesús Bravo Pliego ()
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Jesús Bravo Pliego: HSBC

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2008, vol. 2, issue 1, 44-57

Abstract: In this paper, the degree of relationship among the underlying forward interest rates to the Mexican TIIE-28-day swap interest rate curve is analyzed. It is empirically found that there are strong correlations between term-adjacent forward interest rates, but such correlations become weak when the "distance" (in the term structure) between them increases. This is in line with the preferred habitat theory of Modigliane and Stuch (1966), and it suggests that the models for adjusting, calibrating or analyzing the Mexican interbank interest rate curve should incorporate some relationship among the forward interest rates

Keywords: Tasa de interés spot y forward; bootstrapping; correlación; swaps de TIIE-28 días (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200804

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