De acuerdo a la literatura el precio de un activo (financiero o real) experimenta una burbuja si su precio de mercado se encuentra desajustado de manera persistente en el tiempo con respecto a su valor intrínseco o fundamental. En un contexto de racionalidad y eficiencia es difícil aceptar la...

A tool that has been widely used to identify the state of financial conditions in a country are the financial conditions indexes, since they synthesize information from different variables in a single indicator allowing to identify the general behavior of financial conditions in a timely and...

A tool that has been widely used to identify the state of financial conditions in a country are the financial conditions indexes, since they synthesize information from different variables in a single indicator allowing to identify the general behavior of financial conditions in a timely and...

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...

The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the...

Con el propósito de brindar una herramienta que permita una major gestión de riesgos y una adecuada regulación, en este trabajo se aplica una metodología para la medición de riesgo de tasa de interés. Luego de la estimación y simulación de la estructura temporal de tasas de interés se...

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...

Four specifications of an affine model with risk aversion and no arbitrage conditions are estimated for the Mexican Term Structure of Interest Rates, contrasting their empirical properties and the accuracy of their in and out of sample forecasts. The traditional models are extended by adding...