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La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública

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En el presente trabajo se contrasta la Hipótesis de las Expectativas en los plazos más largos de la estructura temporal de tipos de interés. Para ello se aplica la metodología propuesta en Campbell y Shiller (1987, 1991), basada en la obtención de predicciones de los futuros cambios en los tipos de interés mediante un vector autorregresivo, a estimaciones no paramétricas de la curva de tipos cupón-cero. Los resultados muestran evidencia a favor de la Hipótesis de las Expectativas y que el diferencial de tipos es un buen estimador de los cambios futuros de los tipos de interés también en el largo plazo. (Copyright: Fundación SEPI)

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  • Magdalena Massot Perelló & Juan M. Nave Pineda, 2003. "La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 533-564, September.
    • Handle: RePEc:iec:inveco:v:27:y:2003:i:3:p:533-564
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    More about this item

    Keywords

    Estructura temporal de tipos de interés; teoría de las expectativas; mercado español de Deuda Pública; modelos VAR.;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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