real economic activity and inflation. However, in emerging economies this source of information has not been thoroughly … the yield curve could be a useful tool to estimate future economic activity. This document analyses the predictive power … out. The findings show that the yield curve provides significant information about future economic activity. …

We investigate the relationship between financial market frictions and economic activity in Mexico by constructing and … Zakrajsek (2012). We show that the credit spread is significantly informative about the evolution of economic activity and … financial conditions, identified as a sudden increase of EBP, prompt a contraction in economic activity and credit aggregates …

activity in Mexico for the period 2004-2019. In particular, we evaluate whether such relationship depends on the term premium … activity, measured as either output growth or the probability of a contraction, depends on whether the term premium is above or … of economic activity only when the term premium is above a threshold. Our results also suggest that the slope of the …