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Modelos de la estructura de plazos de las tasas de interés: Revisión, tendencias y perspectivas

Author

Listed:
  • Oldrich Alfons Vasicek

    (Vasicek Associates, U.S.A.)

  • Francisco Venegas-Martínez

    (Instituto Politécnico Nacional, México)

Abstract

El trabajo proporciona una descripción general de los modelos de estructuras de plazos de las tasas de interés. Se trata de un planteamiento técnico de la teoría del comportamiento libre de arbitraje de tasas de interés de distintos vencimientos. Los modelos de tasa corta están ganando relevancia en la actualidad por su capacidad para describir y explicar la existencia de tasas de interés negativas como se ha observado en Europa y Asia. Las condiciones económicas actuales, en un entorno de incertidumbre generado por una recesión económica global, afectan el comportamiento de las tasas de interés, lo cual invita a realizar una revisión más cuidadosa de los factores que influyen en la dinámica de las mismas. Este artículo tiene como objetivo revisar las tendencias y perspectivas de los modelos de estructuras de plazos y destaca algunas áreas para futuras investigaciones.

Suggested Citation

  • Oldrich Alfons Vasicek & Francisco Venegas-Martínez, 2021. "Modelos de la estructura de plazos de las tasas de interés: Revisión, tendencias y perspectivas," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-28, Abril - J.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:2:a:1
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    References listed on IDEAS

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    More about this item

    Keywords

    tasas de interés; estructuras de plazos; modelo de Vasicek;
    All these keywords.

    JEL classification:

    • D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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