Arbeitspapier
An empirical analysis of the Mexican term structure of interest rates
We study the dynamics of the term-structure of interest rates in Mexico. Specifically, we investigate time variation in bond risk premia and the common factors that have influenced the behavior of the yield curve. We find that term-premia in government bonds appear to be time-varying. We then estimate a principal components model. We find that over 95% of the total variation in the yield curve can be explained by two factors. The first factor captures movements in the level of the yield curve, while the second one captures movements in the slope. Moreover, we find that the level factor is positively correlated with measures of long-term inflation expectations and that the slope factor is negatively correlated with the overnight interest rate.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 2008-07
- Klassifikation
-
Wirtschaft
Estimation: General
Interest Rates: Determination, Term Structure, and Effects
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Term-Structure
Time-Varying Risk Premia
Principal Components
Zinsstruktur
Mexiko
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cortés Espada, Josué Fernando
Ramos-Francia, Manuel
Torres García, Alberto
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2008
- 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
- Cortés Espada, Josué Fernando
- Ramos-Francia, Manuel
- Torres García, Alberto
- Banco de México
Entstanden
- 2008
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