| dc.contributor.author | Samaniego-Alcántar, Ángel | |
| dc.contributor.author | Trejo-Pech, Carlos O. | |
| dc.contributor.author | Mongrut-Montalván, Samuel | |
| dc.coverage.spatial | México | es |
| dc.date.accessioned | 2015-04-28T16:30:38Z | |
| dc.date.accessioned | 2023-03-16T20:09:11Z | |
| dc.date.available | 2015-04-28T16:30:38Z | |
| dc.date.available | 2023-03-16T20:09:11Z | |
| dc.date.issued | 2009 | |
| dc.identifier.citation | Samaniego-Alcántar, Á.; Trejo-Pech, C.O. & Mongrut-Montalván, S. (2009). Direction of interest rate movements and interest rate trends of mexican treasury securities, Journal of Internacional Finance and Economics 9(2): 91-100. | es |
| dc.identifier.issn | 1555-6336 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12032/72585 | |
| dc.description | This empirical study focuses on the short-term movements of the Mexican yield curve. Consistent with the fixed-income literature one shows that three factors (level, steepness, and curvature) explain shocks on the short-term Mexican yield curve. Futhermore, using a principal component analysis, one provides i) a three-factor model to forecast the direction (up or down) of Treasury bills interest rates movements and ii) a tool to detect, a priori, the change of trends on Treasury bills interest rates. The three-factor model succeeds 84% of times on forecasting the direction of treasury bills interest rates movements. | es |
| dc.language.iso | eng | es |
| dc.publisher | Journal of Internacional Finance and Economics | es |
| dc.relation.ispartofseries | Journal of Internacional Finance and Economics;9(2) | |
| dc.rights.uri | http://quijote.biblio.iteso.mx/licencias/CC-BY-NC-2.5-MX.pdf | es |
| dc.subject | ACP | es |
| dc.subject | Interest Rate | es |
| dc.title | Direction of interest rate movements and interest rate trends of mexican treasury securities | es |
| dc.type | info:eu-repo/semantics/article | es |
