anchored close to the inflation target of the Bank of Mexico. Furthermore, Mexican inflation risk premia are larger and more …To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for … prices that are only weakly correlated, the results indicate that long-term inflation expectations in Mexico are well …

ambiguous effects w.r.t. to the impact of capital market risk as well as inflation risk, which is due to the interplay of … response to positive changes in inflation risk and capital market risk, respectively, with both effects lasting permanently. … risk-averse households. Deriving a complete solution of the optimization problem taking the intertemporal budget constraint …

We apply text analysis to Twitter messages in Spanish to build a sentiment- based risk index for the financial sector … in Mexico. We classify a sample of tweets for the period 2006-2019 to identify messages in response to positive or … captures the impact of sources of financial stress not explicitly encompassed in quantitative risk measures. Finally, we show …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal … about inflation and growth. Ambiguity can help resolve the puzzling fact that upward-sloping yield curves have persisted … despite positive inflation shocks changing from negative to positive news about growth in the last twenty years. Investors …