A Mean-reverting Model of the Short-term Interbank Interest Rate: the Moroccan Case

A Mean-reverting Model of the Short-term Interbank Interest Rate: the Moroccan Case

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 o...

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Veröffentlicht in:Journal of Finance and Investment Analysis 2013-01, Vol.2 (3)
Hauptverfasser: Zoglat, Abdelhak, Ezzahid, Elhadj, Bouziani, Elhaouari, Younés Mouatassim
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creator Zoglat, Abdelhak
Ezzahid, Elhadj
Bouziani, Elhaouari
Younés Mouatassim
description 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.
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title A Mean-reverting Model of the Short-term Interbank Interest Rate: the Moroccan Case
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