Abstract

MOTA ARAGON, Martha Beatriz  and  MATA MATA, Leovardo. The yield curve and its relation to economic activity in Mexico. Contad. Adm [online]. 2018, vol.63, n.4. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2018.1204.

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 : Yield curve; fixed income; principal components; economic activity; Granger causality.