Advanced Search
MyIDEAS: Login

¿Qué información acerca de las tasas de interés spot futuras contiene la estructura temporal de tasas de interés en México?

Contents:

Author Info

  • Castellanos, Sara Gabriela

    (Dirección de Estudios Económicos del Banco de México)

  • Camero, Eduardo

    (Dirección de Estudios Económicos del Banco de México)

Abstract

In this paper the relationship between the spot interest rates and the term structure of interest rates (TSIR) is analyzed. Analysis is carried out through a set of tests derived from the rational expectations hypothesis. Results suggest that the TSIR contains some information regarding the future direction of movements in both short and long term interest rates, in spite of the rejection of the rational expectation hypothesis obtained in the tests. GARCH and GARCH-M estimations suggest that this result is related to the existence of a time varying risk premium on the interest rates.// En este documento se examina la relación que existe entre las tasas de interés spot y la estructura temporal de tasas de interés (ETTI). El análisis se realiza mediante algunas pruebas derivadas de la hipótesis de expectativas racionales. Los resultados sugieren que la ETTI contiene cierta información respecto a la dirección de los movimientos futuros de las tasas de interés spot tanto de corto como de largo plazos. Ello, no obstante el rechazo que se obtiene de la hipótesis de expectativas racionales en las pruebas realizadas. Las estimaciones con modelos GARCH y GARCH-M parecen indicar que este resultado se relaciona con variaciones en las primas de riesgo asociadas a las tasas de interés.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

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

Volume (Year): LXX (2) (2003)
Issue (Month): 278 (abril-junio)
Pages: 343-369

as in new window
Handle: RePEc:elt:journl:v:70:y:2003:i:278:p:343-369

Contact details of provider:
Web page: http://www.fondodeculturaeconomica.com/

Order Information:
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
Email:
Web: http://www.eltrimestreeconomico.com/

Related research

Keywords: estructura temporal de tasas de interés; hipótesis de expectativas racionales;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:elt:journl:v:70:y:2003:i:278:p:343-369. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rosa María González Mejía).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.