Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/83698 
Year of Publication: 
2011
Series/Report no.: 
Working Papers No. 2011-18
Publisher: 
Banco de México, Ciudad de México
Abstract (Translated): 
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 expectation hypothesis is shown and the deviations of the term structure from this hypothesis are examined. Third, it is documented that much of the variability of the term structure is due to changes in its level. Fourth, some of the statistics of the term structure are associated with macroeconomic variables, specifically the shortterm rate and the output gap as measured with the IGAE index. Regarding this last point, evidence is found that changes in the term structure of interest rates' slope are associated with the monetary policy stand along the business cycle. The nominal interest rates used in the analysis go from July 2002 to June 2011.
Subjects: 
Term Structure of Interest Rates
Expectation Hypothesis
Principal Component Analysis
Nominal Interest Rates
JEL: 
E43
G12
Document Type: 
Working Paper
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