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¿Qué información acerca de expectativas de inflación contiene la estructura temporal de tasas de interés en México?

Author

Listed:
  • Camero G., Eduardo

    (Dirección de Estudios Económicos, Banco de México)

  • Castellanos, Sara

    (Dirección de Estudios Económicos, Banco de México)

Abstract

This document uses some conventional models to measure the information content about inflation expectations in Mexico’s term structure of interest rates (TSIR). It is found that in the period 1996-2000, associated with more flexible financial markets and flexible exchange rate regime, is when the TSIR contains information regarding this variable. This information contributes to marginally improve the predictive power of ARMA models usually employed with this purpose specially outside the sample.// En este trabajo se utilizan algunos modelos tradicionales para medir la información que contiene la estructura temporal de tasas de interés (ETTI) en México respecto a expectativas de inflación. Se encuentra que en el periodo que inicia en 1996, el cual se asocia a una mayor flexibilidad de los mercados financieros y al abandono del régimen de tipo de cambio fijo, la ETTI contiene información de esta variable. Esta información permite mejorar marginalmente el poder de predicción, sobre todo fuera de la muestra, respecto a los pronósticos de modelos ARMA usados con frecuencia para ese fin.

Suggested Citation

  • Camero G., Eduardo & Castellanos, Sara, 2002. "¿Qué información acerca de expectativas de inflación contiene la estructura temporal de tasas de interés en México?," El Trimestre Económico, Fondo de Cultura Económica, vol. 69(275), pages 327-353, julio-sep.
    • Handle: RePEc:elt:journl:v:69:y:2002:i:275:p:327-353
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    Cited by:

    1. Angélica Arosemena, 2002. "Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de literatura," Borradores de Economia 223, Banco de la Republica de Colombia.
    2. Arango, Luis Eduardo & Flórez, Luz Adriana, 2008. "Tramo corto de la curva de rendimientos, cambio de régimen inflacionario y expectativas de inflación en Colombia," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(297), pages 183-210, enero-mar.
    3. Luis Eduardo Arango & María Angélica Arosemena, 2003. "El Tramo Corto de la Estructura a Plazo como predictor de Expectativas de Inflación en Colombia," Borradores de Economia 264, Banco de la Republica de Colombia.
    4. Sara G. Castellanos & Eduardo Camero, 2003. "La estructura temporal de tasas de interés en México: ¿Puede predecir la actividad económica futura?," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 18(2), pages 33-66, December.

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