Banco de México

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Series handle: repec:bdm:wpaper

• 2008-05 Accounting for Output Fluctuations in Mexico
  by Arturo Antón Sarabia [Downloadable!]
• 2008-04 International Evidence on Stochastic and Deterministic Monetary Neutrality
  by Antonio E. Noriega & Luis M. Soria & Ramón Velázquez [Downloadable!]
• 2008-03 An Analytical Approach to Merton’s Rational Option Pricing Theory
  by Rocío Elizondo & Pablo Padilla [Downloadable!]
• 2008-02 This paper assesses the performance of Mexican pension funds (AFORES) by using an asset pricing model that includes macroeconomic factors and benchmark portfolios to explain returns. We apply a bootstrap statistical technique to obtain the cross-sectional distribution of performance measures (alphas) across all pension funds. This is done to determine whether a pension fund manager adds value to the portfolio before commissions charges, or if the performance observed, after controlling for the relevant factors, is simply explained by luck. Moreover, by comparing pension fund alphas to the distributions of alphas corresponding to lower rankings, we can find out if a particular fund statistically distinguishes itself from others. Our results provide evidence that pension funds managers do not add value to the portfolio and that funds are not distinguishable from each other
  by Arnulfo Rodríguez & Gerardo Zúñiga & Pedro N. Rodríguez [Downloadable!]
• 2008-01 Determinants of the Comparative Advantage and of the Performance of Mexico’s Manufacturing Exports During 1996-2005
  by Nicolás Amoroso & Daniel Chiquiar & Núria Quella & Manuel Ramos Francia [Downloadable!]

• 2007-15 The Impact of Trend Inflation in an Open Economy Model
  by Emilio Fernandez-Corugedo [Downloadable!]
• 2007-14 Optimality Tests for Multi-Horizon Forecasts
  by Carlos Capistrán [Downloadable!]
• 2007-13 The asymptotic theories used to estimate the integrated variance using realised variance or multipower variation suggest that returns should be sampled at the highest possible frequency. This leads to a bias problem due to market microstructure effects that can completely invalidate the theory. There is a trade-off between bias and variance when choosing the sample frequency. There is an urgent need for estimators of integrated variance that are unbiased and efficient under these effects. In this paper, multipower variation is studied under this perspective and alternative estimators are defined using the subsampling and averaging method
  by Carla Ysusi [Downloadable!]
• 2007-12 Comparative Advantage and the Performance of Mexican Manufacturing Exports during 1996-2005
  by Daniel Chiquiar & Edna Fragoso & Manuel Ramos Francia [Downloadable!]
• 2007-11 Does Inflation Targeting Affect the Dispersion of Inflation Expectations?
  by Carlos Capistrán & Manuel Ramos Francia [Downloadable!]
• 2007-10 The Three Stages of Central Bank Autonomy in Mexico
  by Eduardo Turrent y Díaz [Downloadable!]
• 2007-09 Multifactor Productivity and its Determinants: Al Empirical Analysis for Mexican Manufacturing
  by Héctor Salgado Banda & Lorenzo E. Bernal Verdugo [Downloadable!]
• 2007-08 Translog Cost Functions: An Application for Mexican Manufacturing
  by Héctor Salgado Banda & Lorenzo E. Bernal Verdugo [Downloadable!]
• 2007-07 Optimal Fiscal Policy in a Small Open Economy and the Structure of International Financial Markets
  by Josué Fernando Cortés Espada [Downloadable!]
• 2007-06 The Financial Accelerator from a Business Cycle Accounting Perspective
  by Arturo Antón Sarabia [Downloadable!]
• 2007-05 Uncertainty about the Persistence of Cost-Push Shocks and the Optimal Reaction of the Monetary Authority
  by Arnulfo Rodríguez & Fidel González & Jesús R. González García [Downloadable!]
• 2007-04 Recursive Thick Modeling and the Choice of Monetary Policy in Mexico
  by Arnulfo Rodríguez & Pedro N. Rodríguez [Downloadable!]
• 2007-03 Fiscal Policy and Default Risk in Emerging Markets
  by Gabriel Cuadra & Horacio Sapriza [Downloadable!]
• 2007-02 Employment, Hours per Worker and the Business Cycle
  by Emilio Fernandez-Corugedo [Downloadable!]
• 2007-01 Time Series Approach to Test a Change in Inflation Persistence: The Mexican Experience
  by Manuel Ramos Francia & Daniel Chiquiar & Antonio E. Noriega [Downloadable!]

• 2006-15 Inflation Dynamics in Mexico: A Characterization Using the New Phillips Curve
  by Manuel Ramos Francia & Alberto Torres García [Downloadable!]
• 2006-14 Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?
  by Carlos Capistrán [Downloadable!]
• 2006-12 Spurious Cointegration: The Engle-Granger Test in the Presence of Structural Breaks
  by Antonio E. Noriega & Daniel Ventosa-Santaulària [Downloadable!]
• 2006-11 Inflation Dynamics in Latin America
  by Carlos Capistrán & Manuel Ramos Francia [Downloadable!]
• 2006-10 Detecting Jumps in High-Frequency Financial Series Using Multipower Variation
  by Carla Ysusi [Downloadable!]
• 2006-09 Optimal Fiscal Policy in a Small Open Economy with Incomplete Markets and Interest Rate Shocks
  by Josué Fernando Cortés Espada [Downloadable!]
• 2006-08 Forecast Combination with Entry and Exit of Experts
  by Carlos Capistrán & Allan Timmermann [Downloadable!]
• 2006-07 Disagreement and Biases in Inflation Expectations
  by Carlos Capistrán & Allan Timmermann [Downloadable!]
• 2006-06 Structural Changes in the Transmission Mechanism of Monetary Policy in Mexico: A Non-linear VAR Approach
  by Alejandro Gaytán González & Jesús R. González García [Downloadable!]
• 2006-05 Spurious Regression and Econometric Trends
  by Antonio E. Noriega & Daniel Ventosa-Santaulària [Downloadable!]
• 2006-04 Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of Garch, Option Implied and Composite Forecast Models
  by Guillermo Benavides [Downloadable!]
• 2006-03 Changes in the Composition of Employment and Productivity in the Formal Sector of the Mexican Economy
  by Carlo Alcaraz & Rodrigo García Verdú [Downloadable!]
• 2006-02 Sovereign Default, Interest Rates and Political Uncertainty in Emerging Markets
  by Gabriel Cuadra & Horacio Sapriza [Downloadable!]
• 2006-01 Sovereign Default, Terms of Trade and Interest Rates in Emerging Markets
  by Gabriel Cuadra & Horacio Sapriza [Downloadable!]

• 2005-05 Factor Shares From Household Survey Data
  by Rodrigo García Verdú [Downloadable!]
• 2005-04 Competing or Colluding in a Stochastic Environment
  by Adriana Breccia & Héctor Salgado Banda [Downloadable!]
• 2005-03 Banks, Liquidity Crises and Economic Growth
  by Alejandro Gaytán González & Romain Ranciere [Downloadable!]
• 2005-02 Wealth, Financial Intermediation and Growth
  by Alejandro Gaytán González & Romain Ranciere [Downloadable!]
• 2005-01 Reducing Inflation Through Inflation Targeting: The Mexican Experience
  by Manuel Ramos Francia & Alberto Torres García [Downloadable!]

• 2004-07 Analysis of Optimal Bids in the Primary Auction of Mexican Federal Government Bonds: Results of a Structural Econometric Modeling Approach
  by Sara Gabriela Castellanos Pascacio & Marco Oviedo [Downloadable!]
• 2004-06 Globalization, Regional Wage Differentials and the Stolper-Samuelson Theorem: Evidence from México
  by Daniel Chiquiar [Downloadable!]
• 2004-05 Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries
  by Manuel Ramos Francia & Daniel Chiquiar [Downloadable!]
• 2004-04 An Econometric Forecast Model of Private Investment in Mexico
  by Alejandro Pérez López Elguézabal [Downloadable!]
• 2004-03 Wage Rigidities in Mexico: Evidence from the Administrative Records of the Mexican Social Security Institute (Instituto Mexicano del Seguro Social)
  by Sara Gabriela Castellanos Pascacio & Rodrigo García Verdú & David Kaplan [Downloadable!]
• 2004-02 The Importance of Defining Property Rights in Free Trade Agreements on Foreign Direct Investment
  by Lorenza Martínez Trigueros & Roberto Romero Hidalgo [Downloadable!]
• 2004-01 Market Expectations Implicit in Derivative Prices: Applications to Exchange and Oil Markets
  by Alejandro Díaz de León & Martha Elena Casanova [Downloadable!]

Did you know? All bibliographic data on IDEAS has been put in the public domain by the publishers.

This page was last updated on 2008-6-30.