A Mean-reverting Model of the Short-term Interbank Interest Rate: the Moroccan Case

Abdelhak Zoglat, Elhadj Ezzahid, Elhaouari Bouziani and Younés Mouatassim

Journal of Finance and Investment Analysis, 2013, vol. 2, issue 3, 5

Abstract: Modeling short-run interest rate is of primary importance for all participants in financial markets. In this paper, we attempt to model short-run interbank interest rate in Morocco by the well-known Ornstein-Uhlenbeck model (OU) called also the mean-reverting model. The results show that the speed of reversion is high and that the mean-reverting level is below the key rate and that the estimated volatility of the interbank daily interest rate r, when this variable is assumed to be governed by an OU model, is below the historical volatility observed during the studied period.

Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.scienpress.com/Upload/JFIA%2fVol%202_3_5.pdf (application/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:spt:fininv:v:2:y:2013:i:3:f:2_3_5

Access Statistics for this article

More articles in Journal of Finance and Investment Analysis from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().