A GARCH approach to model short‐term interest rates: Evidence from Spanish economy

Javier Sánchez García () and Salvador Cruz Rambaud

International Journal of Finance & Economics, 2022, vol. 27, issue 2, 1621-1632

Abstract: This paper focuses on GARCH modelling of the nominal short‐term interest rates of the Spanish government three‐year bonds. This methodology allows an ex‐ante approximation to this variable which proves to be a valuable alternative against econometric specifications that imply a homoscedastic error term. Then, real short‐term interest rates are estimated by employing the reduced Fisher equation. Eventually, the results obtained are compared with the observed values of the real time‐series in order to measure their accuracy.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/ijfe.2234

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1621-1632

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().