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The yield curve and its relation to economic activity in Mexico

Author

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  • Martha Beatriz Mota Aragón

    (Universidad Autónoma Metropolitana, México)

  • Leovardo Mata Mata

    (Universidad Anáhuac, México)

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.

Suggested Citation

  • Martha Beatriz Mota Aragón & Leovardo Mata Mata, 2018. "The yield curve and its relation to economic activity in Mexico," Contaduría y Administración, Accounting and Management, vol. 63(4), pages 15-16, Octubre-D.
    • Handle: RePEc:nax:conyad:v:63:y:2018:i:4:p:15-16
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    File URL: http://www.cya.unam.mx/index.php/cya/article/view/1204/1360
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    References listed on IDEAS

    as
    1. Ang, Andrew & Piazzesi, Monika, 2003. "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
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