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Relaciones de largo plazo entre la política monetaria, el tipo de cambio y el premio al riesgo en México (2003-2018)

Author

Listed:
  • Judith Jazmin Castro Pérez

    (Universidad Tecnológica de México, México)

  • Salvador Cruz Aké

    (Instituto Politécnico Nacional, México)

  • Mario Alejandro Durán Saldívar

    (Instituto Politécnico Nacional, México)

Abstract

El objetivo de esta investigación es estudiar las relaciones de largo plazo entre la política monetaria, el tipo de cambio y el premio al riesgo en la economía mexicana. Mediante la metodología de series de tiempo, modelos ARFIMA y ARFIMAX, con datos diarios de mayo, 2003 a octubre, 2018. Los resultados señalan que las decisiones tomadas por el Banco Central a través de su mecanismo de transmisión (tasa de interés) bajo un objetivo de inflación controlada, envían señales a la economía que impactan en el tipo de cambio, el cual actúa como el canal de transmisión que altera el comportamiento del premio al riesgo de los activos financieros. La recomendación es analizar el impacto que tienen otros mecanismos de política monetaria en el premio al riesgo, la limitación es que sólo se analizaron las relaciones especificas al objetivo, implicando la falta de medición de otros efectos económicos. La originalidad es el análisis de relaciones de largo plazo en la política monetaria mediante modelos fraccionales. En conclusión, se reconoce la existencia de la paradoja del banco central en la economía mexicana.

Suggested Citation

  • Judith Jazmin Castro Pérez & Salvador Cruz Aké & Mario Alejandro Durán Saldívar, 2022. "Relaciones de largo plazo entre la política monetaria, el tipo de cambio y el premio al riesgo en México (2003-2018)," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(2), pages 1-25, Abril - J.
    • Handle: RePEc:imx:journl:v:17:y:2022:i:2:a:5
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    References listed on IDEAS

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    More about this item

    Keywords

    Política Monetaria; Premio al Riesgo; Memoria larga; ARFIMA;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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