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

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dc.contributor.authorSamaniego-Alcántar, Ángel
dc.contributor.authorTrejo-Pech, Carlos O.
dc.contributor.authorMongrut-Montalván, Samuel
dc.coverage.spatialMéxicoes
dc.date.accessioned2015-04-28T16:30:38Z
dc.date.available2015-04-28T16:30:38Z
dc.date.issued2009
dc.descriptionThis 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.identifier.citationSamaniego-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.issn1555-6336
dc.identifier.urihttp://hdl.handle.net/11117/1620
dc.language.isoenges
dc.publisherJournal of Internacional Finance and Economicses
dc.relation.ispartofseriesJournal of Internacional Finance and Economics;9(2)
dc.rights.urihttp://quijote.biblio.iteso.mx/licencias/CC-BY-NC-2.5-MX.pdfes
dc.subjectACPes
dc.subjectInterest Ratees
dc.titleDirection of interest rate movements and interest rate trends of mexican treasury securitieses
dc.typeinfo:eu-repo/semantics/articlees
rei.peerreviewedYeses
rei.revisorJournal of Internacional Finance and Economics

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