Nothing Special   »   [go: up one dir, main page]
create a website
On the Term Structure of Interest Rates of the Mexican Government. (2011). Garcia-Verdu, Santiago.
In: Working Papers.
RePEc:bdm:wpaper:2011-18.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 34

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. [1] Ang, A. y M. Piazzesi (2003), âA No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variablesâ, Journal of Monetary Economics, Vol. 50, Issue 4, May, pp. 745-787.

  2. [10] Castellanos, S.G. (2000), âEl Efecto del Corto Sobre la Estructura de Tasas de InterÃsâ, Documento de InvestigaciÃn No. 2000-1, DirecciÃn General de InvestigaciÃn EconÃmica, Banco de MÃxico.

  3. [11] Castellanos, S.G. y E. Camero (2002), âQuà InformaciÃn sobre las Tasas de InterÃs Spot Futuras Contiene la Estructura Temporal de Tasas de Inter Ãs en MÃxico?â, DirecciÃn General de InvestigaciÃn EconÃmica, Banco de MÃxico.
    Paper not yet in RePEc: Add citation now
  4. [12] Castellanos, S.G. y L. MartÃnez (2008), âDevelopment of the Mexican Bond Marketâen Borensztein, E., K. Cowan, B. Eichengreen y U. Panizza, Bond Markets in Latin America: On the Verge of a Big Bang?, MIT Press.
    Paper not yet in RePEc: Add citation now

  5. [13] Chiquiar, D., A. Noriega y M. Ramos-Francia (2007). âA Time Series Approach to Test a Change in Inâation Persistence: The Mexican Experienceâ, Applied Economics , Vol. 42, No. 24, pp. 3067-3075.

  6. [14] Cochrane, J.H. (2005), Asset Pricing, Second Edition, Princeton University Press.
    Paper not yet in RePEc: Add citation now
  7. [15] Cochrane, J.H. y M. Piazzesi (2005), âBond Risk Premiaâ, American Economic Review, Volume 95, Issue 1, March, pp. 138-160.
    Paper not yet in RePEc: Add citation now

  8. [16] CortÃs, J.F., C. CapistrÃn, M. Ramos-Francia y A. Torres (2009), âAn Empirical Analysis of the Mexican Term Structure Interest Ratesâ, Economics Bulletin, 39(3), 2300-2313.

  9. [17] CortÃs, J.F. y M. Ramos-Francia (2008), âA Macroeconomic Model of the Term Structure of Interest Ratesâ, DirecciÃn General de InvestigaciÃn EconÃmica, Banco de MÃxico.

  10. [18] CortÃs, J.F. y M. Ramos-Francia (2008a), âAn A ne Model of the Term Structure of Interest Rates in Mexicoâ, DirecciÃn General de InvestigaciÃn EconÃmica, Banco de MÃxico.

  11. [19] Cox, J., J. Ingersoll, y S. Ross (1985), âA Theory of the Term Structure of Interest Ratesâ, Econometrica, Vol. 53, 385-408.

  12. [2] Ang, A., M. Piazzesi y M. Wei (2005), âWhat Does the Yield Curve Tell Us About GDP Growth?â, Journal of Econometrics, 131, 359-403.

  13. [21] Du e, D. y R. Kan (1996), âA Yield-Factor Model of Interest Ratesâ, Mathematical Finance 6, 379-406.

  14. [22] Fisher, I. (1930), Theory of Interest, New York, Macmillan.
    Paper not yet in RePEc: Add citation now

  15. [23] Fama, E. y R. Bliss (1987), âThe Information in Long-Maturity Forward Ratesâ, American Economic Review, Vol. 77, 680-692.

  16. [24] Guest, R. y A. McLean (1998), âNew Evidence on the Expectations Theory of the Term Structure of Australian Commonwealth Government Treasury Yieldsâ, Applied Financial Economics 8, 1, 81-87.

  17. [25] Jackson, J.E. (1988), A Userâs Guide to Principal Components, Wiley.
    Paper not yet in RePEc: Add citation now

  18. [26] Jeanneau, S. y C.E. Tovar (2006), âDomestic Bond Markets in Latin America: Achievements and Challengesâ, BIS Quarterly Review, June.

  19. [27] Litterman, R. y J.A. Scheinkman (1991), âCommon Factors Aecting Bond Returns,âJournal of Fixed Income.
    Paper not yet in RePEc: Add citation now

  20. [28] Luenberger, D.G. (1997), Investment Science, Oxford University Press, EE.UU.A.

  21. [29] MÃrquez Diez-CaÃedo, J., C. NoguÃs y V. VÃlez (2003), âUn MÃtodo Eâ- ciente para la SimulaciÃn de Curvas de Tasas de InterÃsâ, Documento de InvestigaciÃn, Banco de MÃxico.
    Paper not yet in RePEc: Add citation now
  22. [3] Babatz, G. y A. Conesa (1994), âThe Term Structure of Interest Rates: An Empirical Analysis for Mexicoâ, Mimeo, Harvard University.
    Paper not yet in RePEc: Add citation now

  23. [30] Nelson, C.R. y A.F. Siegel (1987), âParsimonious Modeling of Yield Curvesâ, Journal of Business, 60(4), pp. 473â489.

  24. [31] Piazzesi, M. (2001), âMacroeconomic Jump Eects and the Yield Curveâ, Working Paper, UCLA.
    Paper not yet in RePEc: Add citation now

  25. [32] Piazzesi, M. y M. Schneider (2006), âEquilibrium Yield Curvesâ, NBER Working Paper 12609.

  26. [34] Sargent, T.J. (1972), âRational Expectations and the Term Structure of Interest Ratesâ, Journal of Money, Credit and Banking, Vol. 4, No. 1, Part 1, pp. 74-97

  27. [35] Sod, G. (1995), âLa TeorÃa de Expectativas Racionales de la Estructura Temporal de Tasas de InterÃs y el Valor de la OpciÃn de Posponer Inversi Ãnâ, DirecciÃn General de InvestigaciÃn EconÃmica, Banco de MÃxico.
    Paper not yet in RePEc: Add citation now

  28. [36] Tease, W. (1988), âThe Expectations Theory of the Term Structure of Interest Rates in Australiaâ, Economic Record, 64(2) 120-127.

  29. [37] Vasicek, O. (1977), âAn Equilibrium Characterization of the Term Structure â, Journal of Financial Economics, 5, pp. 177â188.

  30. [4] Balduzzi, P., G. Bertola y S. Foresi (1997), âA Model of Target Changes and the Term Structure of Interest Ratesâ, Journal of Monetary Economics, Vol. 39, No. 2, 223-49.

  31. [5] Black, F., E. Derman y W. Toy (1990), âA One-Factor Model of Interest Rates and Its Application to Treasury Bond Optionsâ, Financial Analysts Journal, 46, 33-39.
    Paper not yet in RePEc: Add citation now
  32. [6] Black, F. y P. Karasinski (1991), âBond and Option Pricing When Short Rates are Lognormalâ, Financial Analysts Journal, 52â59.
    Paper not yet in RePEc: Add citation now

  33. [7] Borensztein, E., K. Cowan, B. Eichengreen y U. Panizza (2008), Bond Markets in Latin America: On the Verge of a Big Bang?, MIT Press.

  34. [9] Campbell, J. y R. Shiller (1991), âYield Spreads and Interest Rates: A Birdâs Eye Viewâ, Review of Economic Studies 58, 495-514.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Specification Analysis of International Treasury Yield Curve Factors. (2014). Pegoraro, Fulvio ; SIEGEL, A. F. ; Pezzoli, Tiozzo L..
    In: Working papers.
    RePEc:bfr:banfra:490.

    Full description at Econpapers || Download paper

  2. Bond Risk Premia and Gaussian Term Structure Models. (2014). Fontaine, Jean-Sebastien ; Feunou, Bruno.
    In: Staff Working Papers.
    RePEc:bca:bocawp:14-13.

    Full description at Econpapers || Download paper

  3. The Euro-dividend: public debt and interest rates in the Monetary Union. (2010). Salotti, Simone ; Marattin, Luigi.
    In: Working Papers.
    RePEc:bol:bodewp:695.

    Full description at Econpapers || Download paper

  4. Challenges in macro-finance modeling. (2008). Kim, Don.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-06.

    Full description at Econpapers || Download paper

  5. Examining the bond premium puzzle with a DSGE model. (2008). Swanson, Eric ; Rudebusch, Glenn.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2007-25.

    Full description at Econpapers || Download paper

  6. Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters. (2007). van der Wel, Michel ; Koopman, Siem Jan ; Max I. P. Mallee, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070095.

    Full description at Econpapers || Download paper

  7. Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information. (2007). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070028.

    Full description at Econpapers || Download paper

  8. Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information. (2007). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
    In: MPRA Paper.
    RePEc:pra:mprapa:2512.

    Full description at Econpapers || Download paper

  9. The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
    In: PIER Working Paper Archive.
    RePEc:pen:papers:07-029.

    Full description at Econpapers || Download paper

  10. The Long and the Short End of the Term Structure of Policy Rules. (2007). Taylor, John ; Smith, Josephine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13635.

    Full description at Econpapers || Download paper

  11. The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13611.

    Full description at Econpapers || Download paper

  12. Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach. (2007). Yue, Vivian ; Diebold, Francis ; Li, Canlin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13588.

    Full description at Econpapers || Download paper

  13. No-Arbitrage Taylor Rules. (2007). Piazzesi, Monika ; Ang, Andrew ; Dong, Sen .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13448.

    Full description at Econpapers || Download paper

  14. Cracking the Conundrum. (2007). Wright, Jonathan ; Backus, David.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13419.

    Full description at Econpapers || Download paper

  15. Mortgage Timing. (2007). Van Nieuwerburgh, Stijn ; koijen, ralph ; Van Hemert, Otto ; Ralph S. J Koijen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13361.

    Full description at Econpapers || Download paper

  16. Predictive Systems: Living with Imperfect Predictors. (2007). Stambaugh, Robert ; Pastor, Lubos.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12814.

    Full description at Econpapers || Download paper

  17. Macro volatility in a model of the UK Gilt edged bond market. (2007). Spencer, Peter.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:73.

    Full description at Econpapers || Download paper

  18. Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set. (2007). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
    In: Working Papers.
    RePEc:igi:igierp:318.

    Full description at Econpapers || Download paper

  19. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-059.

    Full description at Econpapers || Download paper

  20. Arbitrage-free bond pricing with dynamic macroeconomic models. (2007). Zin, Stanley ; Palomino, Francisco ; Hollifield, Burton ; Gallmeyer, Michael.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:305-326:n:v.89no.4.

    Full description at Econpapers || Download paper

  21. Commentary on Macroeconomic implications of changes in the term premium. (2007). Cochrane, John.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:271-282:n:v.89no.4.

    Full description at Econpapers || Download paper

  22. Macroeconomic implications of changes in the term premium. (2007). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:241-270:n:v.89no.4.

    Full description at Econpapers || Download paper

  23. What does the yield curve tell us about the Federal Reserves implicit inflation target?. (2007). Doh, Taeyoung.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp07-10.

    Full description at Econpapers || Download paper

  24. On forecasting the term structure of credit spreads. (2007). Thomson, James ; C. N. V. Krishnan, ; Ritchken, Peter H..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0705.

    Full description at Econpapers || Download paper

  25. The role of no-arbitrage on forecasting: lessons from a parametric term structure model. (2007). Vicente, José Valentim ; Almeida, Caio.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:657.

    Full description at Econpapers || Download paper

  26. Inflation risk premia in the term structure of interest rates. (2007). Tristani, Oreste ; Hördahl, Peter ; Hordahl, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2007734.

    Full description at Econpapers || Download paper

  27. Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set. (2007). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6206.

    Full description at Econpapers || Download paper

  28. An affine macro-factor model of the UK yield curve. (2007). Peacock, Chris ; Lildholdt, Peter ; Panigirtzoglou, Nikolaos .
    In: Bank of England working papers.
    RePEc:boe:boeewp:322.

    Full description at Econpapers || Download paper

  29. Term Structure Transmission of Monetary Policy. (2007). Tinsley, Peter ; Kozicki, Sharon.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-30.

    Full description at Econpapers || Download paper

  30. A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate. (2007). Yang, Jun ; Chabi-Yo, Fousseni.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-21.

    Full description at Econpapers || Download paper

  31. IMPACT OF MACRO SHOCKS ON SOVEREIGN DEFAULT PROBABILITIES. (2007). Matsumura, Marco S..
    In: Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting].
    RePEc:anp:en2007:060.

    Full description at Econpapers || Download paper

  32. The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules. (2006). Vázquez, Jesús ; Maria-Dolores, Ramón.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:6.

    Full description at Econpapers || Download paper

  33. The term structure of inflation risk premia and macroeconomic dynamics. (2006). Vestin, David ; Tristani, Oreste ; Hrdahl, Peter.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:203.

    Full description at Econpapers || Download paper

  34. Macroeconomic Models and the Yield Curve. (2006). Holly, Sean ; Chadha, Jagjit.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:105.

    Full description at Econpapers || Download paper

  35. A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration. (2006). Diebold, Francis ; Li, Canlin ; Ji, Lei .
    In: PIER Working Paper Archive.
    RePEc:pen:papers:06-017.

    Full description at Econpapers || Download paper

  36. A joint model for the term structure of interest rates and the macroeconomy. (2006). Maes, Konstantijn ; Lyrio, Marco ; Dewachter, Hans.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:4:p:439-462.

    Full description at Econpapers || Download paper

  37. Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework. (2006). Wickens, Michael ; Balfoussia, Hiona.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:11:y:2006:i:3:p:261-277.

    Full description at Econpapers || Download paper

  38. How professional forecasters view shocks to GDP. (2006). Krane, Spencer.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-06-19.

    Full description at Econpapers || Download paper

  39. Macroeconomic implications of changes in the term premium. (2006). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-46.

    Full description at Econpapers || Download paper

  40. The bond yield conundrum from a macro-finance perspective. (2006). Wu, Tao ; Swanson, Eric ; Rudebusch, Glenn.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-16.

    Full description at Econpapers || Download paper

  41. A factor risk model with reference returns for the US dollar and Japanese yen bond markets. (2006). Nyholm, Ken ; Coche, Joachim ; Bernadell, Carlos.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006641.

    Full description at Econpapers || Download paper

  42. New-Keynesian Macroeconomics and the Term Structure. (2006). Moreno, Antonio ; Cho, Seonghoon ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5956.

    Full description at Econpapers || Download paper

  43. Macroeconomic Models and the Yield Curve: An assessment of the Fit. (2006). Holly, Sean ; Chadha, Jagjit.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0640.

    Full description at Econpapers || Download paper

  44. Modelling Term-Structure Dynamics for Risk Management: A Practitioners Perspective. (2006). Bolder, David.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-48.

    Full description at Econpapers || Download paper

  45. Can Affine Term Structure Models Help Us Predict Exchange Rates?. (2006). Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-27.

    Full description at Econpapers || Download paper

  46. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields. (2005). Valente, Giorgio ; Thornton, Daniel ; Sarno, Lucio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5259.

    Full description at Econpapers || Download paper

  47. Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates. (2004). Fendel, Ralf.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:2290.

    Full description at Econpapers || Download paper

  48. What Does the Yield Curve Tell us about GDP Growth?. (2004). Wei, Min ; Piazzesi, Monika ; Ang, Andrew ; Piazessi, Monika.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10672.

    Full description at Econpapers || Download paper

  49. Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model. (2004). Ichiue, Hibiki.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:581.

    Full description at Econpapers || Download paper

  50. Modeling Yield-Factor Volatility. (2004). Smith, Daniel ; Parignon, Christophe.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:307.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-14 15:39:29 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.