THE TERM STRUCTURE OF INTEREST RATES IN MEXICO: THE CETES MARKET

Authors

  • Luis Miguel Galindo Facultad de Economía, Universidad Nacional Autónoma de México
  • Horacio Catalán Facultad de Economía, Universidad Nacional Autónoma de México

DOI:

https://doi.org/10.21919/remef.v2i4.158

Keywords:

Term structure of interest rates, Expectation hypothesis, CETES market

Abstract

The objective of this paper is to analyze the Expectation Hypothesis (EH) of the term structure of interest rates in the public bond market in Mexico. The main results indicate that one and three months nominal interest rates are I(1) series and the spread is I(O). Furthermore, the Johansen (1988) procedure indicates that both series are cointegrated and therefore both series move together over time.

Downloads

How to Cite

Galindo, L. M., & Catalán, H. (2017). THE TERM STRUCTURE OF INTEREST RATES IN MEXICO: THE CETES MARKET. Revista Mexicana De Economía Y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 2(4). https://doi.org/10.21919/remef.v2i4.158

Issue

Vol. 2 No. 4: Diciembre

Section

Artículos