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REF. Número 21º Cuatrimestre 2004

Títulares de los artículos

Juan Fernández de Guevara
This paper analyses the determinants of the interest margin in the Spanish banking sector. The model developed by Ho and Saunders (1981) is widened to take banks’ operating costs explicitly into account. In the model proposed, the interest margin depends of the interest rate and credit risk, the level of competition in banking markets and the average operating costs. The empirical model is tested for a panel of Spanish banks for the period 1992-1999. Results show that the decreases in the interest margin are caused by both a reduction in the average operating costs and a reduction in the uncertainty of the money markets (interest rate risk) that have counteracted the effect of an increase in the market power.
Pilar Abad Romero
In this paper we analyze the expectations hypothesis (HE) in the term structure obtained using information on interest rate swaps nominated in Deutsche mark, US dollar and Japanese yen. We provide evidence on the rejection of the HE restrictions on the cointegrating relationships. Further we propose a new framework on which to test the HE by distinguishing between the implications on the permanent - common and the transitory - specific components of the interest rates that form the term structure. In this new context, we then find consistent evidence in favour of the HE.
Alicia de las Heras
In the empirical papers that test asset pricing models It is more and more usual to employ high frequency data. This fact brings us the opportunity, or perhaps the necessity, to analyze the seasonal patterns, if any, in these data. In this paper we test the presence of calendar effects in the Spanish Public Debt daily returns since 1990 to 2001. Then, we compare the evidence showed with the behavior of the simultaneous equity daily returns. Specifically we analyze the day-of –the-week, the-week-of-the-month and the-month-of-the-year effects using non-parametric techniques. The results show dependence of the returns behavior on the assets characteristics.
Belén Nieto
Sobre la base de la relación entre rentabilidad esperada y las diferentes medidas de riesgo que implican los distintos modelos de valoración de activos, el objetivo de este trabajo consiste en examinar el comportamiento de diferentes modelos de formación de precios, usando datos del mercado español bursátil en el período correspondido entre enero de 1982 y diciembre de 1998. Este objetivo se pretende alcanzar desde dos tipos de análisis: por un lado, comprobando si las betas asociadas a los factores de riesgo considerados por cada modelo son relevantes en la explicación de los rendimientos medios, y por otro, comparando el ajuste de cada modelo alternativo a los datos de este estudio. Consideramos tanto modelos con carácter estático como modelos que incorporan dinamismo al estar especificados en términos condicionales, en los que las variables utilizadas como predoctoras de los cambios en el conjunto de información de la economía son el ratio valor contable/valor de mercado y la rentabilidad por dividendos, ambos agregados. Los resultados muestran que los modelos condicionales presentan un mejor comportamiento que los modelos estáticos.