Term structure of interest rates, Expectation hypothesis, CETES market
Abstract
The objective of this paper is to analyze the Expectation Hypothesis (EH) of the term structure of interest rates in the public bond market in Mexico. The main results indicate that one and three months nominal interest rates are I(1) series and the spread is I(O). Furthermore, the Johansen (1988) procedure indicates that both series are cointegrated and therefore both series move together over time.
