This paper, first, reviews briefly the literature on the term structure of interest rates, citing some of the most important studies done on the topic for the Mexican case in the last years. In addition, the development of the government debt market is described. Second, evidence against the...

This paper, first, reviews briefly the literature on the term structure of interest rates, citing some of the most important studies done on the topic for the Mexican case in the last years. In addition, the development of the government debt market is described. Second, evidence against the...

The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the...

Con el propósito de brindar una herramienta que permita una major gestión de riesgos y una adecuada regulación, en este trabajo se aplica una metodología para la medición de riesgo de tasa de interés. Luego de la estimación y simulación de la estructura temporal de tasas de interés se...

This document studies the recent evolution of the break-even-inflation implicit in the yields of long-term financial instruments in Mexico. In particular, it analyzes the dynamics of its main components: the long-run inflation expectation and the inflationary risk premium, which are estimated by...

Four specifications of an affine model with risk aversion and no arbitrage conditions are estimated for the Mexican Term Structure of Interest Rates, contrasting their empirical properties and the accuracy of their in and out of sample forecasts. The traditional models are extended by adding...

El desarrollo del mercado financiero en Colombia, ha hecho que la integración con losmerados financieros internacionales sea cada vez más evidente. Es por esto que el estudiodel grado de relación de nuestras tasas de interés con las tasas de interés de las tasasinternacionales, cobra...

In this paper, the degree of the relationship amongst the underlying forward interest rates to the Mexican TIIE-28-day swap interest rate curve is analyzed. It is found empirically that there are strong correlations between term-adjacent forward interest rates, but such correlations become weak...

In this paper we obtain an interest rate term structure to price fixed-rate assets. In such structure we model the dynamics of the short interest rate based on the three factor model proposed by Lin-Chen (1995). Here we use the Mexican daily funding government rate as the short interest rate....

En este trabajo analizamos el comportamiento dinámico del tipo de interés a un mes del mercado interbancario español entre 1987 y 2001. Se utiliza un proceso de difusión tipo raíz cuadrada que permite que el tipo cambie dependiendo del estado de la economía. El cambio entre regímenes es...