TIIE-28 Swaps as Risk-Adjusted Forecasts of Monetary Policy in Mexico

IF 0.9 Q3 BUSINESS, FINANCE
Santiago García-Verdú, Manuel Ramos-Francia, M. Sánchez-Martínez
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引用次数: 1

Abstract

Information extracted from financial derivatives on interest rates is commonly used to forecast movements in interest rates. However, such an extraction generally assumes that agents are risk-neutral, which is not necessarily the case. Accordingly, it might be useful to account for the agents’ risk-aversion when doing these forecasts, which one can implement by adding a risk-correction. In this context, we use TIIE-28 swaps to forecast changes in monetary policy in Mexico, using a set of financial variables to account for the risk-correction. We assess whether models with a risk-correction outperform the TIIE-28 swaps rates, and find that the in-sample explained variability improves when using a risk-correction. Centrally, we document that our main model’s out-of-sample forecasts are similar for short horizons (3-month), and statistically significantly better for longer horizons (9 to 24-month), compared to the direct use of TIIE-28 swaps interest rates.
TIIE-28掉期作为墨西哥货币政策的风险调整预测
从金融衍生品中提取的利率信息通常用于预测利率的变动。然而,这样的提取通常假设代理人是风险中性的,但事实并非如此。因此,在进行这些预测时,考虑代理的风险厌恶可能是有用的,可以通过添加风险修正来实现。在这种情况下,我们使用tie -28掉期来预测墨西哥货币政策的变化,使用一组金融变量来解释风险修正。我们评估了带有风险校正的模型是否优于tie -28掉期利率,并发现当使用风险校正时,样本内解释的可变性得到改善。主要是,我们证明,与直接使用tie -28掉期利率相比,我们的主要模型对短期(3个月)的样本外预测是相似的,对长期(9至24个月)的预测在统计上明显更好。
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
发文量
0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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