新兴债券市场的通胀预期和风险溢价：墨西哥的证据

IF 3.8 1区经济学 Q1 ECONOMICS

Journal of International Economics Pub Date : 2024-06-06 DOI:10.1016/j.jinteco.2024.103961

Remy Beauregard , Jens H.E. Christensen , Eric Fischer , Simon Zhu

{"title":"新兴债券市场的通胀预期和风险溢价：墨西哥的证据","authors":"Remy Beauregard , Jens H.E. Christensen , Eric Fischer , Simon Zhu","doi":"10.1016/j.jinteco.2024.103961","DOIUrl":null,"url":null,"abstract":"<div><p>To study inflation expectations and associated risk premia in emerging bond markets, we provide estimates for Mexico based on an arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for their liquidity risk. Beyond documenting the existence of large and weakly correlated liquidity premia in nominal and real bond prices, our results indicate that long-term inflation expectations in Mexico are well anchored close to the Bank of Mexico’s inflation target. Furthermore, Mexican inflation risk premia are larger and more volatile than those in Canada and the United States.</p></div>","PeriodicalId":16276,"journal":{"name":"Journal of International Economics","volume":null,"pages":null},"PeriodicalIF":3.8000,"publicationDate":"2024-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Inflation expectations and risk premia in emerging bond markets: Evidence from Mexico\",\"authors\":\"Remy Beauregard , Jens H.E. Christensen , Eric Fischer , Simon Zhu\",\"doi\":\"10.1016/j.jinteco.2024.103961\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>To study inflation expectations and associated risk premia in emerging bond markets, we provide estimates for Mexico based on an arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for their liquidity risk. Beyond documenting the existence of large and weakly correlated liquidity premia in nominal and real bond prices, our results indicate that long-term inflation expectations in Mexico are well anchored close to the Bank of Mexico’s inflation target. Furthermore, Mexican inflation risk premia are larger and more volatile than those in Canada and the United States.</p></div>\",\"PeriodicalId\":16276,\"journal\":{\"name\":\"Journal of International Economics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":3.8000,\"publicationDate\":\"2024-06-06\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of International Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0022199624000886\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0022199624000886","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}

引用次数: 0

摘要

为了研究新兴债券市场的通胀预期和相关风险溢价，我们基于名义和实际债券价格的无套利动态期限结构模型，对墨西哥的通胀预期和相关风险溢价进行了估计，并考虑了其流动性风险。除了证明名义和实际债券价格中存在大量弱相关的流动性溢价外，我们的结果还表明，墨西哥的长期通胀预期非常接近墨西哥银行的通胀目标。此外，与加拿大和美国相比，墨西哥的通胀风险溢价更大，波动也更大。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Inflation expectations and risk premia in emerging bond markets: Evidence from Mexico

To study inflation expectations and associated risk premia in emerging bond markets, we provide estimates for Mexico based on an arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for their liquidity risk. Beyond documenting the existence of large and weakly correlated liquidity premia in nominal and real bond prices, our results indicate that long-term inflation expectations in Mexico are well anchored close to the Bank of Mexico’s inflation target. Furthermore, Mexican inflation risk premia are larger and more volatile than those in Canada and the United States.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of International Economics ECONOMICS-

CiteScore

5.80

自引率

6.10%

发文量

期刊介绍： The Journal of International Economics is intended to serve as the primary outlet for theoretical and empirical research in all areas of international economics. These include, but are not limited to the following: trade patterns, commercial policy; international institutions; exchange rates; open economy macroeconomics; international finance; international factor mobility. The Journal especially encourages the submission of articles which are empirical in nature, or deal with issues of open economy macroeconomics and international finance. Theoretical work submitted to the Journal should be original in its motivation or modelling structure. Empirical analysis should be based on a theoretical framework, and should be capable of replication.