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Descomposición de la compensación por inflación y riesgo inflacionario en México
Aguilar-Argaez, Ana María; Elizondo, Rocio; … - 2016
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 … components. This reflects, on the one hand, the progressive convergence of the estimated inflation expectation to Banco de México …
Persistent link: https://www.econbiz.de/10011788946
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Descomposición de la compensación por inflación y riesgo inflacionario en México
Aguilar-Argaez, Ana María; Elizondo, Rocio; … - 2016
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 … components. This reflects, on the one hand, the progressive convergence of the estimated inflation expectation to Banco de México …
Persistent link: https://www.econbiz.de/10011576178
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Algunas consideraciones sobre la estructura temporal de tasas de interés del gobierno en México
García-Verdú, Santiago - 2011
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...
Persistent link: https://www.econbiz.de/10010322548
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Pronósticos de la estructura temporal de las tasas de interés en México utilizando und modelo afín
Elizondo, Rocio - 2013
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...
Persistent link: https://www.econbiz.de/10010322556
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Comparación de pronósticos de la estructura temporal de tasas de interés de México para distintas especificaciones del modelo afín
Lelo-de-Larrea, Alejandra - 2020
, exchange rate, inflation and growth in the period 2002-2017, it is found that, although there is no superiority of a single …
Persistent link: https://www.econbiz.de/10012616394
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Simulación de la estructura temporal de tasas de interés: Una aplicación al cálculo de riesgo de tasas de interés
González, Mirta; Pérez, María Cecilia - 2015
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...
Persistent link: https://www.econbiz.de/10011716913
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Simulación de la estructura temporal de tasas de interés : una aplicación al cálculo de riesgo de tasas de interés
González, Mirta; Pérez, María Cecilia - 2015
In order to provide a tool for risk management improvement and appropriate regulation, a methodology for measuring interest rate risk is applied in this paper. After estimating and simulating the interest rate term structure, the value at risk and expected shortfall are calculated on a...
Persistent link: https://www.econbiz.de/10011392440
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Pronósticos de la estructura temporal de las tasas de interés en México utilizando und modelo afín
Elizondo, Rocio - 2013
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...
Persistent link: https://www.econbiz.de/10009735501
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Algunas consideraciones sobre la estructura temporal de tasas de interés del gobierno en México
García-Verdú, Santiago - 2011
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...
Persistent link: https://www.econbiz.de/10009410460
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La Estructura Temporal de los Tipos de Interés (Term Structure of Interest Rates)
Mascareñas, Juan - 2020
Spanish Abstract: En esta monografía se describe la estructura temporal de los tipos de interés, la curva de rendimientos cupón-cero, los tipos de interés a plazo implícitos, la teoría de las expectativas del mercado sobre los tipos de interés, la teoría de la preferencia por la...
Persistent link: https://www.econbiz.de/10012856968