La curva de rendimiento y su relación con la actividad económica en México durante el periodo 1978-2017

Martha Beatriz Mota Aragón; Leovardo Mata Mata

doi:10.22201/fca.24488410e.2018.1204

La curva de rendimiento y su relación con la actividad económica en México durante el periodo 1978-2017

Translated title of the contribution: The yield curve and its relation to economic activity in Mexico during the period 1978-2017

Martha Beatriz Mota Aragón, Leovardo Mata Mata

Research output: Contribution to journal › Review article › peer-review

Abstract

In this paper are analyzed the main components of the interest rate variation of debt instruments, issued by the Mexican Government, in the period 1978-2017. By means of an autoregressive vector, there is a relationship between these components and the variables: GDP gap, inflation rate and economic growth rate. Likewise, there is evidence of causality in the Granger sense, which establishes a bridge between the yield curve and economic activity in Mexico.

Translated title of the contribution	The yield curve and its relation to economic activity in Mexico during the period 1978-2017
Original language	Spanish
Journal	Contaduria y Administracion
Volume	63
Issue number	4
DOIs	https://doi.org/10.22201/fca.24488410e.2018.1204
State	Published - 1 Jan 2018
Externally published	Yes

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10.22201/fca.24488410e.2018.1204

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title = "La curva de rendimiento y su relaci{\'o}n con la actividad econ{\'o}mica en M{\'e}xico durante el periodo 1978-2017",

abstract = "In this paper are analyzed the main components of the interest rate variation of debt instruments, issued by the Mexican Government, in the period 1978-2017. By means of an autoregressive vector, there is a relationship between these components and the variables: GDP gap, inflation rate and economic growth rate. Likewise, there is evidence of causality in the Granger sense, which establishes a bridge between the yield curve and economic activity in Mexico.",

keywords = "Economic activity, Fixed income, Granger causality, Principal components, Yield curve",

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N2 - In this paper are analyzed the main components of the interest rate variation of debt instruments, issued by the Mexican Government, in the period 1978-2017. By means of an autoregressive vector, there is a relationship between these components and the variables: GDP gap, inflation rate and economic growth rate. Likewise, there is evidence of causality in the Granger sense, which establishes a bridge between the yield curve and economic activity in Mexico.

AB - In this paper are analyzed the main components of the interest rate variation of debt instruments, issued by the Mexican Government, in the period 1978-2017. By means of an autoregressive vector, there is a relationship between these components and the variables: GDP gap, inflation rate and economic growth rate. Likewise, there is evidence of causality in the Granger sense, which establishes a bridge between the yield curve and economic activity in Mexico.

KW - Economic activity

KW - Fixed income

KW - Granger causality

KW - Principal components

KW - Yield curve

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U2 - 10.22201/fca.24488410e.2018.1204

DO - 10.22201/fca.24488410e.2018.1204

M3 - Artículo de revisión

AN - SCOPUS:85052943573

SN - 0186-1042

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JO - Contaduria y Administracion

JF - Contaduria y Administracion

IS - 4

ER -

La curva de rendimiento y su relación con la actividad económica en México durante el periodo 1978-2017

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