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

Author

Listed:
  • 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.

Suggested Citation

  • Castellanos, Sara Gabriela & Camero, Eduardo, 2003. "¿Qué información acerca de las tasas de interés spot futuras contiene la estructura temporal de tasas de interés en México?," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(278), pages 343-369, abril-jun.
    • Handle: RePEc:elt:journl:v:70:y:2003:i:278:p:343-369
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    Cited by:

    1. Santiago García-Verdú & Manuel Ramos-Francia & Manuel Sánchez-Martínez, 2019. "TIIE-28 Swaps as Risk-Adjusted Forecasts of Monetary Policy in Mexico," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-23, June.

    More about this item

    Keywords

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

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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