The yield curve and its relation to economic activity in Mexico

Martha Beatriz Mota Aragón () and Leovardo Mata Mata
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Martha Beatriz Mota Aragón: Universidad Autónoma Metropolitana, México
Leovardo Mata Mata: Universidad Anáhuac, México

Contaduría y Administración, 2018, vol. 63, issue 4, 15-16

Abstract: In this paper are analyzed the main components of the interest rate variation of debt instruments, issued by the Mexican Government, in the period 1978-2017. By means of an autoregressive vector, there is a relationship between these components and the variables: GDP gap, inflation rate and economic growth rate. Likewise, there is evidence of causality in the Granger sense, which establishes a bridge between the yield curve and economic activity in Mexico.

Keywords: Yield curve; fixed income; principal components; economic activity; Granger causality. (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:63:y:2018:i:4:p:15-16

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