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Direction of interest rate movements and interest rate trends of mexican treasury securities

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dc.contributor.author Samaniego-Alcántar, Ángel
dc.contributor.author Trejo-Pech, Carlos O.
dc.contributor.author Mongrut-Montalván, Samuel
dc.coverage.spatial México es
dc.date.accessioned 2015-04-28T16:30:38Z
dc.date.available 2015-04-28T16:30:38Z
dc.date.issued 2009
dc.identifier.citation Samaniego-Alcántar, Á.; Trejo-Pech, C.O. & Mongrut-Montalván, S. (2009). Direction of interest rate movements and interest rate trends of mexican treasury securities, Journal of Internacional Finance and Economics 9(2): 91-100. es
dc.identifier.issn 1555-6336
dc.identifier.uri http://hdl.handle.net/11117/1620
dc.description 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. es
dc.language.iso eng es
dc.publisher Journal of Internacional Finance and Economics es
dc.relation.ispartofseries Journal of Internacional Finance and Economics;9(2)
dc.rights.uri http://quijote.biblio.iteso.mx/licencias/CC-BY-NC-2.5-MX.pdf es
dc.subject ACP es
dc.subject Interest Rate es
dc.title Direction of interest rate movements and interest rate trends of mexican treasury securities es
dc.type info:eu-repo/semantics/article es
rei.revisor Journal of Internacional Finance and Economics
rei.peerreviewed Yes es


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