An empirical analysis of the mexican term structure of interest rates

Josué Cortés Espada (), Carlos Capistrán (), Manuel Ramos-Francia () and Alberto Torres ()
Additional contact information
Josué Cortés Espada: Banco de México
Manuel Ramos-Francia: Banco de México
Alberto Torres: Banco de México
Authors registered in the RePEc Author Service: Manuel Ramos Francia

Economics Bulletin, 2009, vol. 29, issue 3, 2300-2313

Abstract: Little is known about the behavior of the term structure of interest rates in emerging markets. In this paper we study the dynamics of the term-structure of interest rates in Mexico between 2001 and 2008. We find that term-premia appears to be time-varying, and that over 99% of the total variation in the yield curve can be explained by three factors: level, slope, and curvature. We also show 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. Hence, we document that the term structure in Mexico, despite its relatively short existence, seems to behave as in markets that have more developed financial systems.

JEL-codes: E4 (search for similar items in EconPapers)
Date: 2009-09-15
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: An Empirical Analysis of the Mexican Term Structure of Interest Rates (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-09-00432

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