Un modelo de tres factores con un parámetro de sensibilidad de mercado para estimar la dinámica de la tasa corta: Una aplicación para la tasa de fondeo gubernamental de México

Ruiz-Porras, Antonio and Perez-Sicairos, Rene Benjamin (2010): Un modelo de tres factores con un parámetro de sensibilidad de mercado para estimar la dinámica de la tasa corta: Una aplicación para la tasa de fondeo gubernamental de México. Forthcoming in: Avances Recientes en la Valuación de Activos y Administración de Riesgos. Volumen 2 [Book edited by F. Ortiz-Arango, Universidad Panamericana (Mexico)]

Abstract

In this study we develop a three-factor model of the term structure of interest rates that includes a market sensitivity parameter. In the model the future short-rate depends on the current short-rate, the short-term mean of the short rate and the current volatility of the short-rate. The parameter measures the impact of the volatility on the short rate. The model is used to estimate the dynamics of the Mexican short rate. The methodology to estimate the term structure uses three-stage least squares (3SLS) and full-information maximum likelihood (FIML) estimations and Monte Carlo simulations. The results suggest that the model fits better than the CIR one to describe and predict the Mexican government funding rate.

• Item Type: MPRA Paper
• English Title: A three-factor model with a market sensitivity parameter to estimate the dynamics of the short rate: An application for the Mexican government funding rate
• Language: Spanish
• Keywords: term structure; short rate; market sensitivity; government funding rate; Mexico
• Subjects: E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General

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