Aguilar-Argaez, Ana; Diego-Fernández, María; … - In: Latin American economic review : LAER ; official … 32 (2023), pp. 1-47
We estimate the term premium implicit in 10-year Mexican government bonds from2004 to 2019, and analyze the main …-terminterest rate and the term premium. The first is obtained using two affine models anddata on interest rate swaps. The second is … computed as the difference between longtermrates and such expectation. The results show that the term premium …