期刊名称：Cuadernos de Ciencias Económicas y Empresariales
印刷版ISSN：0211-4356
出版年度：2008
卷号：2008
期号：55
出版社：Universidad de Málaga
摘要：In this paper I study how many common factors there is in Term Structure Interest
Rate (TSIR) of the Spanish Debt Secundary Market. The study of this question is taken
by comparing the ability of the three-factor models against the one and two factors
models. The results indicate that the three-factor models perform better than the one
and two factors models. In addition, the results suggest that to use cointegration
techniques to determinate how many no stationary common factors there is in the
TSIR may take us to underestimate the number of variables are need to explain the
behavior of the TSIR. To last, it seems that the duration vector derivate from a factor
model estimated with the level of the interest rate yield accurate result in an interest
rate risk manage.
关键词：: Term Structure Interest Rate (TSIR), factors, risk manage.
