Tipos de interés a plazo implícitos “versus” tipos de contado futuros. Primas por la liquidez de la deuda pública española en el periodo 1999-2014

Abstract

This paper, extending the results of an earlier, seeks to obtain liquidity premium embedded in the Term Structure of Interest Rates of the Spanish Public Debt. In order to achieve this task 192 monthly term structures are been modelled (January, 1999 to December, 2014), showing that there is a positive bias on implicit forward interest rates when they are compared with spot rates they predicted, as theory of liquidity preference advocates. The results of the research show a mean bias of 22.38%of the one-year forward rates and higher for forward rates covering longer maturities. This bias can be identified as the liquidity premium demanded by the market to invest in longer terms a year. It is notable that only in the years of this financial crisis liquidity premium in forward rates for a year was 39.61%.