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¿Qué información acerca de expectativas de inflación contiene la estructura temporal de tasas de interés en México?

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Author Info

  • Camero G., Eduardo

    (Dirección de Estudios Económicos, Banco de México)

  • Castellanos, Sara

    (Dirección de Estudios Económicos, Banco de México)

Abstract

This document uses some conventional models to measure the information content about inflation expectations in Mexico’s term structure of interest rates (TSIR). It is found that in the period 1996-2000, associated with more flexible financial markets and flexible exchange rate regime, is when the TSIR contains information regarding this variable. This information contributes to marginally improve the predictive power of ARMA models usually employed with this purpose specially outside the sample.// En este trabajo se utilizan algunos modelos tradicionales para medir la información que contiene la estructura temporal de tasas de interés (ETTI) en México respecto a expectativas de inflación. Se encuentra que en el periodo que inicia en 1996, el cual se asocia a una mayor flexibilidad de los mercados financieros y al abandono del régimen de tipo de cambio fijo, la ETTI contiene información de esta variable. Esta información permite mejorar marginalmente el poder de predicción, sobre todo fuera de la muestra, respecto a los pronósticos de modelos ARMA usados con frecuencia para ese fin.

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Bibliographic Info

Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXIX (3) (2002)
Issue (Month): 275 (julio-septiembre)
Pages: 327-353

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Handle: RePEc:elt:journl:v:69:y:2002:i:275:p:327-353

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Web page: http://www.fondodeculturaeconomica.com/

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Postal: Order print issues directly in our web page or with Guadalupe Galicia at Fondo de Cultura Económica, El Trimestre Económico, Carretera Picacho Ajusco 227, 6° piso,Col. Bosques del Pedregal, CP 14738, Tlalpan, Distrito Federal, México
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Cited by:
  1. Sara G. Castellanos & Eduardo Camero, 2003. "La estructura temporal de tasas de interés en México: ¿Puede predecir la actividad económica futura?," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 18(2), pages 33-66, December.
  2. Luis Eduardo Arango & Luz Adriana Flórez, . "Tramo Corto de la Curva de Rendimientos, Cambio de Régimen Inflacionario y Expectativas de Inflación en Colombia," Borradores de Economia 360, Banco de la Republica de Colombia.
  3. Angélica Arosemena, . "Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de literatura," Borradores de Economia 223, Banco de la Republica de Colombia.
  4. Luis Eduardo Arango & Angélica María Arosemena, 2003. "El tramo Corto de la Estructura a Plazo como predictor de Expectativas de Inflación en Colombia," BORRADORES DE ECONOMIA 002558, BANCO DE LA REPÚBLICA.

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