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Envelopes for the term structure of interest rates

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  • López, Susana

Abstract

This paper proposes new measures providing us with the level of sequential arbitrage in a bond market. Each measure generates a concrete proxy for the Term Structure of Interest Rates. The set of proxies allows us to compute the exact market price of any bond, may measure the tax effect, may measure the credit risk when dealing with non-default free bonds. and may solve the usual puzzle when dealing with extendible or callable bonds. Finally, an empirical test of our findings is implemented in the Spanish market

Suggested Citation

  • López, Susana, 2000. "Envelopes for the term structure of interest rates," DEE - Working Papers. Business Economics. WB 9966, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    • Handle: RePEc:cte:wbrepe:9966
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    References listed on IDEAS

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