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Factores comunes en la ETTI española. Un análisis de corto y largo plazo

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  • Sonia Benito Muela

    (Universidad Complutense de Madrid, Dpto. de Fundamentos y Análisis Económico II)

Abstract

En este trabajo se aborda el estudio de factores comunes en la Estructura Temporal de Tipos de Interés (ETTI) de la deuda pública española. El objetivo del trabajo es determinar cuántas variables son necesarias para caracterizar su dinámica de desplazamiento, tanto en contextos de corto como de largo plazo. Los resultados obtenidos son interesantes por cuanto ponen de manifiesto la necesidad de utilizar un número distinto de variables según estemos interesados en explicar el comportamiento de la curva de tipos en horizontes de corto o de largo plazo. Concretamente los resultados apuntan a que se necesitan dos variables para explicar los cambios de la ETTI en horizontes de largo plazo, y tres variables para resumir su dinámica en horizontes de corto plazo.

Suggested Citation

  • Sonia Benito Muela, 2005. "Factores comunes en la ETTI española. Un análisis de corto y largo plazo," Documentos de Trabajo del ICAE 0510, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    • Handle: RePEc:ucm:doicae:0510
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    References listed on IDEAS

    as
    1. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
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    More about this item

    Keywords

    Factores Comunes; ETTI; Gestión de Carteras.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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