TY - JOUR
T1 - Modelos de la estructura de plazos de las tasas de interés
T2 - Revisión, tendencias y perspectivas
AU - Vasicek, Oldrich Alfons
AU - Venegas-Martínez, Francisco
N1 - Publisher Copyright:
© 2021 The Author(s).
PY - 2021
Y1 - 2021
N2 - The paper provides an overview of models of the term structure of interest rates. It is a technical exposition of the theory of arbitrage-free behavior of interest rates of different maturities. The short rate models acquire current relevance for their ability to describe and explain the existence of negative interest rates, as they have been observed in Europe and Asia. Current economic conditions, in an environment of uncertainty generated by a global economic recession, affect the behavior of interest rates, which invites a more detailed review of the factors that influence in their dynamics. This article aims to review the trends and perspectives of models of the term structure and highlights some areas for future research.
AB - The paper provides an overview of models of the term structure of interest rates. It is a technical exposition of the theory of arbitrage-free behavior of interest rates of different maturities. The short rate models acquire current relevance for their ability to describe and explain the existence of negative interest rates, as they have been observed in Europe and Asia. Current economic conditions, in an environment of uncertainty generated by a global economic recession, affect the behavior of interest rates, which invites a more detailed review of the factors that influence in their dynamics. This article aims to review the trends and perspectives of models of the term structure and highlights some areas for future research.
KW - Vasicek model
KW - interest rates
KW - term structure
UR - http://www.scopus.com/inward/record.url?scp=85142748305&partnerID=8YFLogxK
U2 - 10.21919/remef.v16i2.587
DO - 10.21919/remef.v16i2.587
M3 - Artículo de revisión
AN - SCOPUS:85142748305
SN - 1665-5346
VL - 16
JO - Revista Mexicana de Economia y Finanzas Nueva Epoca
JF - Revista Mexicana de Economia y Finanzas Nueva Epoca
IS - 2
M1 - e587
ER -