Arbeitspapier
Algunas consideraciones sobre la estructura temporal de tasas de interés del gobierno en México
This paper, first, reviews briefly the literature on the term structure of interest rates, citing some of the most important studies done on the topic for the Mexican case in the last years. In addition, the development of the government debt market is described. Second, evidence against the expectation hypothesis is shown and the deviations of the term structure from this hypothesis are examined. Third, it is documented that much of the variability of the term structure is due to changes in its level. Fourth, some of the statistics of the term structure are associated with macroeconomic variables, specifically the shortterm rate and the output gap as measured with the IGAE index. Regarding this last point, evidence is found that changes in the term structure of interest rates' slope are associated with the monetary policy stand along the business cycle. The nominal interest rates used in the analysis go from July 2002 to June 2011.
- Sprache
-
Spanisch
- Erschienen in
-
Series: Working Papers ; No. 2011-18
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Term Structure of Interest Rates
Expectation Hypothesis
Principal Component Analysis
Nominal Interest Rates
Zinsstruktur
Zins
Erwartungstheorie
Hauptkomponentenanalyse
Mexiko
- Ereignis
-
Geistige Schöpfung
- (wer)
-
García-Verdú, Santiago
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- García-Verdú, Santiago
- Banco de México
Entstanden
- 2011
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