2024-03-28T21:29:01Zhttps://repositorio.bde.es/oai/requestoai:repositorio.bde.es:123456789/67122023-11-29T09:37:00Zcom_123456789_5661com_123456789_21col_123456789_5689
Repositorio Institucional
author
Gimeno, Ricardo
author
Marqués Sevillano, José Manuel
2019-08-10T17:52:30Z
2019-08-10T17:52:30Z
2008-01-11
ISSN: 0213-2710 (en papel)
https://repositorio.bde.es/handle/123456789/6712
000196956
DTRA-200802-eng
In this paper we decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia using an affine model that takes as factors the observed inflation rate and the parameters generated in the zero yield curve estimation. We apply this model to the Spanish economy during the 90s, which is an especially challenging exercise given the nominal convergence towards the European Monetary Union (EMU) then under way. The methodology seems to be suitable for other countries currently involved in convergence towards EMU. The evidence indicates that inflation expectations and risk premia account for most of the observed variation in nominal rates, while real risk free interest rates show a reduction during this period lower than that suggested by other approaches
eng
Reconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0)
Real interest rates
Risk Premium
Inflation expectations
Affine model
Uncertainty and the price of risk in a nominal convergence process
Documento de trabajo
URL
https://repositorio.bde.es/bitstream/123456789/6712/1/dt0802e.pdf
File
MD5
b4489c0da3c1ec76f4f5e94c7f78a041
900201
application/pdf
dt0802e.pdf
URL
https://repositorio.bde.es/bitstream/123456789/6712/2/dt0802e.pdf.txt
File
MD5
778f18044221ec84b8f82b4135b77c05
78110
text/plain
dt0802e.pdf.txt