Arbeitspapier
TIIE-28 swaps as risk-adjusted forecasts of monetary policy in Mexico
Information extracted from financial derivatives on interest rates is commonly used to forecast movements in such rates. Yet, such an extraction generally assumes that agents are risk-neutral. Thus, it might be useful to account for their risk-aversion when doing forecasts. This can be done adding a risk-correction. In this context, we use TIIE-28 swaps to forecast changes in monetary policy in Mexico, using financial variables to account for the risk-correction. We assess whether models with a risk-correction outperform the TIIE-28 swaps rates. Their in-sample explained variability improves when using a risk-correction. Our main model's out-of-sample forecasts are similar for short horizons (3-month), and statistically better for longer horizons (9 to 24-month), compared to the direct use of TIIE-28 swaps interest rates.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 2018-16
- Klassifikation
-
Wirtschaft
Monetary Policy
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
TIIE-28
Swaps
Interest Rates
Expected Monetary Policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
García-Verdú, Santiago
Ramos-Francia, Manuel
Sánchez-Martínez, Manuel
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- García-Verdú, Santiago
- Ramos-Francia, Manuel
- Sánchez-Martínez, Manuel
- Banco de México
Entstanden
- 2018
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