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Un Análisis de la Curva de Rendimientos en el Mercado de Deuda Pública Española a Medio y Largo Plazo en el Período 1993-2004

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  • Jorge de Andrés Sánchez

    (Universidad Rovira i Virgili. España.)

Abstract

En este trabajo realizamos un análisis de los tipos de interés cruzados durante el periodo 1988-2004 en el mercado español de operaciones al contado Bonos y Obligaciones del Estado, que es sin el mercado cash de activos de renta fija más importante de España. El estudio efectuado busca contrastar hasta que punto se cumplen en la curva de rendimientos de este mercado las implicaciones de la teoría de las expectativas racionales expuestas en Hall Anderson y Granger (1992). Asimismo, se interpreta el significado de las tendencias estocásticas que son comunes en el movimiento de los tipos de interés, cuyo número es determinado a partir del rango de cointegración del sistema de tipos de interés que se analiza.

Suggested Citation

  • Jorge de Andrés Sánchez, 2004. "Un Análisis de la Curva de Rendimientos en el Mercado de Deuda Pública Española a Medio y Largo Plazo en el Período 1993-2004," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 3, pages 1-30, October.
    • Handle: RePEc:eac:articl:11/03
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