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Principales determinantes en las decisiones de política monetaria de México: un análisis econométrico

  • Isela Elizabeth Téllez León

    (Instituto Politécnico Nacional)

  • Francisco Venegas Martínez

    (Instituto Politécnico Nacional)

This paper identifies the determinants that affect the probability of deviations from the target interest rate (overnight interbank rate) of Bank of Mexico, through the development of several binary probit models. Among, the determinants of monetary policy decisions of Bank of Mexico several macroeconomic variables are identified in Mexico and the United States and, particularly, some nodes of the Treasury Certificates yield curve. The combination of these variables provides an adequate specification based on standard information criteria from econometric analysis.

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File URL: http://biblio-codex.colmex.mx/exlibris/aleph/a21_1/apache_media/RRMN9E2L5PFNKRQDEJJGE8YHN5TAG6.pdf
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Article provided by El Colegio de México, Centro de Estudios Económicos in its journal Estudios Económicos.

Volume (Year): 28 (2013)
Issue (Month): 1 ()
Pages: 79-108

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Handle: RePEc:emx:esteco:v:28:y:2013:i:1:p:79-108
Contact details of provider: Web page: http://www.colmex.mx/centros/cee/

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  1. Michael Dueker, 1999. "Measuring monetary policy inertia in target Fed funds rate changes," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 3-10.
  2. Hu, Ling & Phillips, Peter C. B., 2004. "Nonstationary discrete choice," Journal of Econometrics, Elsevier, vol. 120(1), pages 103-138, May.
  3. Hull, John & White, Alan, 1993. "One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(02), pages 235-254, June.
  4. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July.
  5. Peter Hordahl & Oreste Tristani & David Vestin, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Money Macro and Finance (MMF) Research Group Conference 2003 48, Money Macro and Finance Research Group.
  6. Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2003. "The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  7. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc.
  8. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
  9. Constantinides, George M, 1992. "A Theory of the Nominal Term Structure of Interest Rates," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 531-52.
  10. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  11. Piazzesi, Monika, 2001. "An Econometric Model of the Yield Curve With Macroeconomic Jump Effects," University of California at Los Angeles, Anderson Graduate School of Management qt5946p7hn, Anderson Graduate School of Management, UCLA.
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