Journal of Finance and Investment Analysis
A Mean-reverting Model of the Short-term Interbank Interest Rate: the Moroccan Case
[ Download ]
- Times downloaded: 1092
Modeling short-run interest rate is of primary importance for all participants in financial markets. In this paper, we attempt to model short-run interbank interest rate in Morocco by the well-known Ornstein-Uhlenbeck model (OU) called also the mean-reverting model. The results show that the speed of reversion is high and that the mean-reverting level is below the key rate and that the estimated volatility of the interbank daily interest rate r, when this variable is assumed to be governed by an OU model, is below the historical volatility observed during the studied period.
ISSN: 2241-0996 (Online)