Direction of interest rate movements and interest rate trends of mexican treasury securities
This empirical study focuses on the short-term movements of the Mexican yield curve. Consistent with the fixed-income literature one shows that three factors (level, steepness, and curvature) explain shocks on the short-term Mexican yield curve. Futhermore, using a principal component analysis, one...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2009 |
| País: | México |
| Institución: | Instituto Tecnológico y de Estudios Superiores de Occidente |
| Repositorio: | Repositorio Institucional del ITESO |
| Idioma: | inglés |
| OAI Identifier: | oai:rei.iteso.mx:11117/1620 |
| Acceso en línea: | http://hdl.handle.net/11117/1620 |
| Access Level: | acceso abierto |
| Palabra clave: | ACP Interest Rate |
| Sumario: | This empirical study focuses on the short-term movements of the Mexican yield curve. Consistent with the fixed-income literature one shows that three factors (level, steepness, and curvature) explain shocks on the short-term Mexican yield curve. Futhermore, using a principal component analysis, one provides i) a three-factor model to forecast the direction (up or down) of Treasury bills interest rates movements and ii) a tool to detect, a priori, the change of trends on Treasury bills interest rates. The three-factor model succeeds 84% of times on forecasting the direction of treasury bills interest rates movements. |
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