메뉴 건너뛰기




Volumn 9, Issue 2, 1999, Pages 149-161

The information in the Mexican term structure of interest rates: Capital market implications

Author keywords

Mexican capital markets; Pure expectations hypothesis; Term structure

Indexed keywords


EID: 0033112610     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-4431(99)00004-9     Document Type: Article
Times cited : (4)

References (25)
  • 2
    • 0000473798 scopus 로고
    • Techniques for testing the constancy of regression relationships over time
    • Brown, R., Durbin, J., Evans, J., 1975. Techniques for testing the constancy of regression relationships over time. J. Royal Stat. Soc. B37, 149-163.
    • (1975) J. Royal Stat. Soc. , vol.B37 , pp. 149-163
    • Brown, R.1    Durbin, J.2    Evans, J.3
  • 3
    • 0029846646 scopus 로고    scopus 로고
    • Petty crime and cruel punishment: Lessons from the Mexican debacle
    • Calvo, G., Mendoza, E., 1996. Petty crime and cruel punishment: Lessons from the Mexican debacle. Am. Econ. Rev. 86, 170-175.
    • (1996) Am. Econ. Rev. , vol.86 , pp. 170-175
    • Calvo, G.1    Mendoza, E.2
  • 4
    • 84959821636 scopus 로고
    • Yield spreads and interest rate movements: A bird's eye view
    • Campbell, J., Shiller, R., 1991. Yield spreads and interest rate movements: A bird's eye view. Rev. Econ. Studies 58, 495-514.
    • (1991) Rev. Econ. Studies , vol.58 , pp. 495-514
    • Campbell, J.1    Shiller, R.2
  • 5
    • 0030472633 scopus 로고    scopus 로고
    • Exchange-rate anchors, credibility and inertia: A tale of two crises, Chile and Mexico
    • Edwards, S., 1996. Exchange-rate anchors, credibility and inertia: A tale of two crises, Chile and Mexico. Am. Econ. Rev. 86, 176-180.
    • (1996) Am. Econ. Rev. , vol.86 , pp. 176-180
    • Edwards, S.1
  • 7
    • 0030215346 scopus 로고    scopus 로고
    • Return generating process and the determinants of term premiums
    • Elton, E., Gruber, M., Mei, J., 1996. Return generating process and the determinants of term premiums. J. Bank Finan. 20, 1251-1264.
    • (1996) J. Bank Finan. , vol.20 , pp. 1251-1264
    • Elton, E.1    Gruber, M.2    Mei, J.3
  • 8
    • 0030167167 scopus 로고    scopus 로고
    • The predictive power of the money market term structure
    • Engsted, T., 1996. The predictive power of the money market term structure. Int. J. Forecast. 12, 289-308.
    • (1996) Int. J. Forecast , vol.12 , pp. 289-308
    • Engsted, T.1
  • 9
    • 0000911048 scopus 로고
    • The information in the term structure
    • Fama, E., 1984. The information in the term structure. J. Finan. Econ. 13, 509-528.
    • (1984) J. Finan. Econ. , vol.13 , pp. 509-528
    • Fama, E.1
  • 10
    • 0000064728 scopus 로고
    • The information in long-maturity forward rates
    • Fama, E., Bliss, R., 1987. The information in long-maturity forward rates. Am. Econ. Rev. 77, 680-692.
    • (1987) Am. Econ. Rev. , vol.77 , pp. 680-692
    • Fama, E.1    Bliss, R.2
  • 11
    • 84977704978 scopus 로고
    • New hope for the expectations hypothesis of the term structure of interest rates
    • Froot, K., 1989. New hope for the expectations hypothesis of the term structure of interest rates. J. Finan. 44, 283-305.
    • (1989) J. Finan. , vol.44 , pp. 283-305
    • Froot, K.1
  • 12
    • 4243828723 scopus 로고
    • La hipótesis de expectativas en el mercado de CETES en México: 1990-1995
    • Galindo, L., 1995. La hipótesis de expectativas en el mercado de CETES en México: 1990-1995. Estudios Econ. 10, 67-88.
    • (1995) Estudios Econ. , vol.10 , pp. 67-88
    • Galindo, L.1
  • 13
    • 0030449727 scopus 로고    scopus 로고
    • One year of solitude: Some pilgrim tales about Mexico's 1994-1995 crisis
    • Gil-Diaz, F., Carstens, A., 1996. One year of solitude: Some pilgrim tales about Mexico's 1994-1995 crisis. Am. Econ. Rev. 86, 164-169.
    • (1996) Am. Econ. Rev. , vol.86 , pp. 164-169
    • Gil-Diaz, F.1    Carstens, A.2
  • 14
    • 0023500011 scopus 로고
    • Discriminating between autocorrelation and misspecification in regression analysis: An alternative test strategy
    • Godfrey, L., 1987. Discriminating between autocorrelation and misspecification in regression analysis: An alternative test strategy. Rev. Econ. Stat. 69, 128-134.
    • (1987) Rev. Econ. Stat. , vol.69 , pp. 128-134
    • Godfrey, L.1
  • 15
    • 43949152349 scopus 로고
    • The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle?
    • Hardouvelis, G., 1994. The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle? J. Monetary Econ. 33, 255-283.
    • (1994) J. Monetary Econ. , vol.33 , pp. 255-283
    • Hardouvelis, G.1
  • 16
    • 0002470073 scopus 로고    scopus 로고
    • Market rate expectations and forward rates
    • Ilmanen, A., 1996. Market rate expectations and forward rates. J. Fixed Income 6, 8-21.
    • (1996) J. Fixed Income , vol.6 , pp. 8-21
    • Ilmanen, A.1
  • 17
    • 0000253806 scopus 로고
    • Was there a 'peso' problem in the US term structure of interest rates: 1979-1982?
    • Lewis, K., 1991. Was there a 'peso' problem in the US term structure of interest rates: 1979-1982? Int. Econ. Rev. 32, 159-173.
    • (1991) Int. Econ. Rev. , vol.32 , pp. 159-173
    • Lewis, K.1
  • 18
    • 84963455327 scopus 로고
    • The term structure of UK interest rates: Tests of the expectations hypothesis
    • Mills, T., 1991. The term structure of UK interest rates: Tests of the expectations hypothesis. J. Appl. Econ. 23, 599-606.
    • (1991) J. Appl. Econ. , vol.23 , pp. 599-606
    • Mills, T.1
  • 19
    • 45149137336 scopus 로고
    • What does the term structure tell us about future inflation?
    • Mishkin, F., 1990. What does the term structure tell us about future inflation? J. Monetary Econ. 25, 77-95.
    • (1990) J. Monetary Econ. , vol.25 , pp. 77-95
    • Mishkin, F.1
  • 20
    • 0000196688 scopus 로고    scopus 로고
    • The information in the term structure: A non-parametric investigation
    • Mizrach, B., 1996. The information in the term structure: A non-parametric investigation. J. Forecasting 5, 137-154.
    • (1996) J. Forecasting , vol.5 , pp. 137-154
    • Mizrach, B.1
  • 21
    • 0000706085 scopus 로고
    • A simple, positive definite heteroscedasticity and autocorrelation consistent covariance matrix
    • Newey, W., West, K., 1987. A simple, positive definite heteroscedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 23
    • 0001116028 scopus 로고
    • Forward rates and future policy: Interpreting the term structure of interest rates
    • Shiller, R., Campbell, J., Schoenholtz, K., 1983. Forward rates and future policy: Interpreting the term structure of interest rates. Brookings Papers Econ. Activity 1, 173-217.
    • (1983) Brookings Papers Econ. Activity , vol.1 , pp. 173-217
    • Shiller, R.1    Campbell, J.2    Schoenholtz, K.3
  • 24
    • 0001719787 scopus 로고
    • The adjustment of nominal interest rates in Mexico: A study of the fisher effect
    • Thornton, J., 1995. The adjustment of nominal interest rates in Mexico: A study of the fisher effect. Appl. Econ. Lett. 3, 255-257.
    • (1995) Appl. Econ. Lett. , vol.3 , pp. 255-257
    • Thornton, J.1
  • 25
    • 84985559966 scopus 로고
    • Some evidence on the term structure of interest rates: How to find a black cat when it's not there
    • Young, I., Fowler, D., 1990. Some evidence on the term structure of interest rates: How to find a black cat when it's not there. J. Acc. Finan. 30, 21-26.
    • (1990) J. Acc. Finan. , vol.30 , pp. 21-26
    • Young, I.1    Fowler, D.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.