Central bank research hub - Papers by Fernando Cortés Espada Josué
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Research hub papers by author Fernando Cortés Espada JosuéenAn Affine Model of the Term Structure of Interest Rates in Mexico
http://www.banxico.org.mx/documents/{9911E456-14AC-F6BE-FD81-B2BBF5C04D9B}.pdf
Bank of Mexico Working Papers by Cortés Espada Josué Fernando; Ramos Francia ManuelAn Affine Model of the Term Structure of Interest Rates in Mexico2008-08-02T07:14:59ZWe develop and estimate an affine model that characterizes the dynamics of the term structure of interest rates in Mexico. Moreover, we provide empirical evidence on the relationship between the term structure factors and macroeconomic variables. First, we show that the model fits the data remarkably well. Second, we show that the first factor captures movements in the level of the yield curve, while the second factor captures movements in the slope of the curve. Third, the variance decomposition results show that the level factor accounts for a substantial part of the variance at the long end of the yield curve at all horizons. At short horizons, the slope factor accounts for much of the variance at the short end of the yield curve. Finally, we show that movements in the level of the yield curve are associated with movements in long-term inflation expectations, while movements in the slope of the curve are associated with movements in the short-term nominal interest rate.An Affine Model of the Term Structure of Interest Rates in MexicoFull texthttp://www.banxico.org.mx/documents/{9911E456-14AC-F6BE-FD81-B2BBF5C04D9B}.pdfFernando Cortés Espada JosuéManuel Ramos-FranciaCortés Espada Josué Fernando; Ramos Francia Manuel2008Bank of Mexico Working PapersC13E43G12A Macroeconomic Model of the Term Structure of Interest Rates in Mexico.
http://www.banxico.org.mx/documents/{051AB723-E670-D0ED-3180-8062E2A4E228}.pdf
Bank of Mexico Working Papers by Cortés Espada Josué Fernando; Ramos Francia ManuelA Macroeconomic Model of the Term Structure of Interest Rates in Mexico.2008-08-02T07:14:59ZThis paper investigates how different macroeconomic shocks affect the term-structure of interest rates in Mexico. In particular, we develop a model that combines a no-arbitrage specification of the term structure with a macroeconomic model of a small open economy. We find that shocks that are perceived to have a persistent effect on inflation affect the level of the yield curve. The effect on medium and long-term yields results from the increase in expected future short rates and in risk premia. With respect to demand shocks, our results show that a positive shock leads to an upward flattening shift in the yield curve. The flattening of the curve is explained by both the monetary policy response and the time-varying term premia.A Macroeconomic Model of the Term Structure of Interest Rates in Mexico.Full texthttp://www.banxico.org.mx/documents/{051AB723-E670-D0ED-3180-8062E2A4E228}.pdfFernando Cortés Espada JosuéManuel Ramos-FranciaCortés Espada Josué Fernando; Ramos Francia Manuel2008Bank of Mexico Working PapersC13E43G12An Empirical Analysis of the Mexican Term Structure of Interest Rates.
http://www.banxico.org.mx/documents/{105E1A3E-E914-D02E-E5D7-C4798A88E771}.pdf
Bank of Mexico Working Papers by Cortés Espada Josué Fernando; Ramos Francia Manuel; Torres García AlbertoAn Empirical Analysis of the Mexican Term Structure of Interest Rates.2008-07-24T17:42:00ZWe study the dynamics of the term-structure of interest rates in Mexico. Specifically, we investigate time variation in bond risk premia and the common factors that have influenced the behavior of the yield curve. We find that term-premia in government bonds appear to be time-varying. We then estimate a principal components model. We find that over 95% of the total variation in the yield curve can be explained by two factors. The first factor captures movements in the level of the yield curve, while the second one captures movements in the slope. Moreover, we find that the level factor is positively correlated with measures of long-term inflation expectations and that the slope factor is negatively correlated with the overnight interest rate.An Empirical Analysis of the Mexican Term Structure of Interest Rates.Full texthttp://www.banxico.org.mx/documents/{105E1A3E-E914-D02E-E5D7-C4798A88E771}.pdfAlberto Torres GarcíaFernando Cortés Espada JosuéManuel Ramos-FranciaCortés Espada Josué Fernando; Ramos Francia Manuel; Torres García Alberto2008Bank of Mexico Working PapersC13E43G12Optimal Fiscal Policy in a Small Open Economy and the Structure of International Financial Markets.
http://www.banxico.org.mx/documents/{A471012C-812B-242B-13DD-AAA2ECA90ED0}.pdf
Bank of Mexico Working Papers by Cortés Espada Josué FernandoOptimal Fiscal Policy in a Small Open Economy and the Structure of International Financial Markets.2007-03-14T09:05:59ZThis paper characterizes the behavior of debt and tax rates in a small open economy under both complete and incomplete markets. First, I show that when the government follows an optimal fiscal policy and agents have access to complete markets, the value of the government's debt portfolio is negatively correlated with government spending, and positively correlated with productivity and output, while output, labor, consumption and the tax rate are uncorrelated with government spending shocks. The stochastic processes followed by these variables inherit the serial-correlation properties of the stochastic process of the productivity shock. Second, I show that if agents can only buy and sell one-period risk-free bonds, public debt shows more persistence than other variables, and it is negatively correlated with productivity and output, and positively correlated with government spending. Moreover, the tax rate is positively correlated with government spending, while consumption is negatively correlated.Optimal Fiscal Policy in a Small Open Economy and the Structure of International Financial Markets.Full texthttp://www.banxico.org.mx/documents/{A471012C-812B-242B-13DD-AAA2ECA90ED0}.pdfFernando Cortés Espada JosuéCortés Espada Josué Fernando2007Bank of Mexico Working PapersOptimal Fiscal Policy in a Small Open Economy with Incomplete Markets and Interest Rate Shocks
http://www.banxico.org.mx/documents/{135C9585-FE24-36EB-6C07-5B34B33D21D1}.pdf
Bank of Mexico Working Papers by Cortés Espada Josué FernandoOptimal Fiscal Policy in a Small Open Economy with Incomplete Markets and Interest Rate Shocks2006-12-01T12:00:00ZOptimal Fiscal Policy in a Small Open Economy with Incomplete Markets and Interest Rate ShocksFull texthttp://www.banxico.org.mx/documents/{135C9585-FE24-36EB-6C07-5B34B33D21D1}.pdfFernando Cortés Espada JosuéCortés Espada Josué Fernando2006Bank of Mexico Working Papers