English, Article, Journal or magazine article edition: EXPLORING THE SPANISH INTERBANK YIELD CURVE Leandro Navarro; Enrique M. Quilis

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • EXPLORING THE SPANISH INTERBANK YIELD CURVE
Author
  • Leandro Navarro
  • Enrique M. Quilis
Physical Description
  • preprint
Notes
  • . Financial indicators play an important role in short-term monitoring due to its sensitivity to general macroeconomic conditions, their forward-looking nature, and also because of the fast availability of its data of very high frequency. In order to assess this role, we perform an econometric exploration of the interest rates of the Spanish interbank market. First, we estimate a transformation of their yield curve according to a VARMA model-based canonical and principal component analysis. The transformed indicators measure different and independent sources of variability of the observed yield curve and improve the interpretation and analysis of financial conditions. In the second step we analyze the stochastic properties of the transformed yield curve in order to asses their potential role for short-term monitoring, monetary policy, and risk management.
  • yield curve, financial indicators, leading indicators, VARMA models, factor analysis, cointegration analysis.
  • RePEc:hpe:wpaper:y:2003:i:25
Language
  • English
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