The Empirics of Long-Term Mexican Government Bond Yields

Levy Economics Institute, Working Papers Series

67 Pages Posted: 18 Mar 2021

Date Written: February 5, 2021

Abstract

This paper presents empirical models of Mexican government bond (MGB) yields based on monthly macroeconomic data. The current short-term interest rate has a decisive influence on MGB yields, after controlling for inflation and growth in industrial production. John Maynard Keynes claimed that government bond yields move in lockstep with the short-term interest rate. The models presented in the paper show that Keynes’s claim holds for MGB yields. This has important policy implications for Mexico. The empirical findings of the paper are also relevant for ongoing debates in macroeconomics.

Keywords: Mexican Government Bonds, Long-Term Interest Rate, Short-Term Interest Rate, Monetary Policy, Banco de México (BdM), Banxico

JEL Classification: E43, E50, E58, E60, G10, G12

Suggested Citation

Akram, Tanweer and Uddin, Syed, The Empirics of Long-Term Mexican Government Bond Yields (February 5, 2021). Levy Economics Institute, Working Papers Series, Available at SSRN: https://ssrn.com/abstract=3780186 or http://dx.doi.org/10.2139/ssrn.3780186

Tanweer Akram (Contact Author)

General Motors ( email )

300 Renaissance Center
Detroit, MI 48243

Syed Uddin

College of Saint Benedict ( email )

37 College Avenue S, Main # 335
St Joseph, MN 56374
United States
3203635244 (Phone)

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