Arbeitspapier
A macroeconomic model of the term structure of interest rates in Mexico
This paper investigates how different macroeconomic shocks affect the term-structure of interest rates in Mexico. In particular, we develop a model that combines a no-arbitrage specification of the term structure with a macroeconomic model of a small open economy. We find that shocks that are perceived to have a persistent effect on inflation affect the level of the yield curve. The effect on medium and long-term yields results from the increase in expected future short rates and in risk premia. With respect to demand shocks, our results show that a positive shock leads to an upward flattening shift in the yield curve. The flattening of the curve is explained by both the monetary policy response and the time-varying term premia.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 2008-10
- Klassifikation
-
Wirtschaft
Estimation: General
Interest Rates: Determination, Term Structure, and Effects
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Term-Structure
No-Arbitrage
Macroeconomic Shocks
Zinsstruktur
Mexiko
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cortés Espada, Josué Fernando
Ramos-Francia, Manuel
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:45 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
- Banco de México
Entstanden
- 2008
Ähnliche Objekte (12)
Tariffs and macroeconomic dynamics
An affine model of the term structure of interest rates in Mexico
The effects of child care provision in Mexico
An analysis of the process of disinflationary structural change: The case of Mexico
The nonlinear effect of uncertainty in portfolio flows to Mexico
Price-setting in Mexico and the real effects of monetary shocks
The micro-economics of export supply: Firm-level evidence from Mexico
The impact of the capture of leaders of criminal organizations on the labor market: Evidence from Mexico
Macroeconomic news, announcements, and stock market jump intensity dynamics
The effect of trade and FDI on inter-industry wage differentials: The case of Mexico
The effect of trade liberalization on manufacturing price cost margins: The case of Mexico, 1994-2003
Bank foreign currency funding and currency markets: The case of Mexico post GFC
Tariffs and macroeconomic dynamics
An affine model of the term structure of interest rates in Mexico
The effects of child care provision in Mexico
An analysis of the process of disinflationary structural change: The case of Mexico
The nonlinear effect of uncertainty in portfolio flows to Mexico
Price-setting in Mexico and the real effects of monetary shocks
The micro-economics of export supply: Firm-level evidence from Mexico
The impact of the capture of leaders of criminal organizations on the labor market: Evidence from Mexico
Macroeconomic news, announcements, and stock market jump intensity dynamics
The effect of trade and FDI on inter-industry wage differentials: The case of Mexico
The effect of trade liberalization on manufacturing price cost margins: The case of Mexico, 1994-2003
Bank foreign currency funding and currency markets: The case of Mexico post GFC
Tariffs and macroeconomic dynamics
An affine model of the term structure of interest rates in Mexico
The effects of child care provision in Mexico
An analysis of the process of disinflationary structural change: The case of Mexico
The nonlinear effect of uncertainty in portfolio flows to Mexico
Price-setting in Mexico and the real effects of monetary shocks
The micro-economics of export supply: Firm-level evidence from Mexico
The impact of the capture of leaders of criminal organizations on the labor market: Evidence from Mexico
Macroeconomic news, announcements, and stock market jump intensity dynamics
The effect of trade and FDI on inter-industry wage differentials: The case of Mexico
The effect of trade liberalization on manufacturing price cost margins: The case of Mexico, 1994-2003