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Short and Long-Term Relationships among the Surety Bond Market, the Building Sector, and Relevant Nominal Variables Related to the Construction Industry: The Mexican Case (2006-2014)

Author

Listed:
  • Marco Antonio Alejo-Garc a

    (Erasmus University Rotterdam, Holland,)

  • Francisco Venegas-Mart nez

    (Instituto Polit cnico Naciona)

  • Salvador Cruz-Ak

    (Mexico, Instituto Polit cnico Nacional, Mexico.)

Abstract

This paper is aimed at examining the relationship among the surety bond market, the building sector, and several important nominal variables related to the construction industry en M xico during 2006-2014. To do this, we use Vector Autoregressive (VAR) and cointegration models in order to find short- and long-run relationships. We also perform a Granger causality analysis and an impulse-response examination, as well as variance decomposition. The main finding is that the surety industry responds to changes in: GDP from construction, credits for the construction sector, revenues of the private construction, and credit defaults. We also find empirical evidence that in the long run the surety industry reacts to: the government investment, the default in this industry, and the interest rate.

Suggested Citation

  • Marco Antonio Alejo-Garc a & Francisco Venegas-Mart nez & Salvador Cruz-Ak, 2017. "Short and Long-Term Relationships among the Surety Bond Market, the Building Sector, and Relevant Nominal Variables Related to the Construction Industry: The Mexican Case (2006-2014)," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 485-497.
    • Handle: RePEc:eco:journ1:2017-05-57
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • 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

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