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

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Journal of Internacional Finance and Economics

Resumen

Descripción

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.

Palabras clave

ACP, Interest Rate

Citación

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.