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Evaluación del impacto del mercado de derivados en los canales de transmisión de la política monetaria en México: Metodologías VAR y M-GARCH

Author

Listed:
  • Elisa Yamazaki Tanabe

    (ITESM)

  • José Carlos Ramírez Sánchez

    (ITESM)

Abstract

This research paper explores some of the implications on the derivatives markets of the monetary policy responsibilities that a Central Bank can have in order to increase the transparency of these markets and to develop measures to address their inherent risks. Using VAR and Multivariate GARCH methodologies, an empirical method is used to study the impact that the use of interest rate derivatives can have on the dilution of the Mexican monetary policy channels

Suggested Citation

  • Elisa Yamazaki Tanabe & José Carlos Ramírez Sánchez, 2010. "Evaluación del impacto del mercado de derivados en los canales de transmisión de la política monetaria en México: Metodologías VAR y M-GARCH," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 4(2), pages 47-78.
    • Handle: RePEc:ega:rafega:201009
    as

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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2010V4A9Yamazaki-Ramirez.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Política Monetaria; Series de Tiempo; Modelos VAR; Modelos GARCH Multivariados;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • 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
    • Y - Miscellaneous Categories
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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