On the Term Structure of Interest Rates of the Mexican Government

Santiago Garcia-Verdu

No 2011-18, Working Papers from Banco de México

Abstract: 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 short-term 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.

JEL-codes: E43 G12 (search for similar items in EconPapers)
Date: 2011-12
New Economics Papers: this item is included in nep-his, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:bdm:wpaper:2011-18

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