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

Author

Listed:
  • Jesús Bravo Pliego

    (HSBC)

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

Suggested Citation

  • Jesús Bravo Pliego, 2008. "Análisis empírico de la relación entre las tasas de interés forward subyacentes al mercado Mexicano de swaps de TIIE," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 2(1), pages 44-57.
    • Handle: RePEc:ega:rafega:200804
    as

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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2008V2A4Bravo.pdf
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    More about this item

    Keywords

    Tasa de interés spot y forward; bootstrapping; correlación; swaps de TIIE-28 días;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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