Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/174452 
Year of Publication: 
2016
Series/Report no.: 
Working Papers No. 2016-22
Publisher: 
Banco de México, Ciudad de México
Abstract (Translated): 
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 means of an affine term structure model of interest rates. The results show that the gradual reduction registered in such compensation in the last years is the result of the decrease showed by both components. This reflects, on the one hand, the progressive convergence of the estimated inflation expectation to Banco de México's inflation target as well as its anchoring and, on the other hand, that nominal-bond holders have required a lower hedging against future inflation, possibly, as a reflection of a lower risk perception associated to it.
Subjects: 
Inflation
Break-even-inflation
Inflation expectation
Inflationary risk premium
JEL: 
E31
E43
E52
G12
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size
934.64 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.