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Impactos monetarios sobre la rentabilidad del mercado accionario en México: Un análisis de cambio de régimen markoviano

Author

Listed:
  • Rosalinda Arriaga Navarrete

    (Universidad Autónoma Metropolitana-Iztapalapa)

  • Miriam Sosa Castro

    (Universidad Autónoma Metropolitana-Iztapalapa)

  • Abigail Rodríguez Nava

    (Universidad Autónoma Metropolitana-Xochimilco)

Abstract

Los objetivos inflacionarios pueden verse presionados por perturbaciones y fuertes volatilidades en los mercados financieros y cambiarios. Por ello, el mercado accionario y los tipos de cambio son fundamentales en la transmisión de la política monetaria, dadas las relaciones que tienen con la demanda agregada y los precios. El presente trabajo analiza la incidencia de las variables monetarias clave en la actividad de la Bolsa Mexicana de Valores, durante el periodo 2008-2019, a través de un modelo que incorpora quiebres estructurales, y un Vector Autorregresivo con Cambio de Régimen (MS-VAR). Las estimaciones verifican la influencia de la tasa de política monetaria; las primas de riesgos de los bonos gubernamentales y corporativos; y el tipo de cambio en el mercado accionario, identificando la respuesta diferenciada ante escenarios de alta y baja volatilidad. Monetary Impacts on the Mexican Stock Market Returns: A Markov Switching Approach Inflationary targets can be pressured by disturbances and strong volatilities in the financial and exchange markets. Therefore, the stock market and exchange rates are fundamental in the transmission of monetary policy, given the relationships they have with aggregate demand and prices. This paper analyzes the incidence of the key monetary variables in the activity of the Mexican Stock Exchange, during the period 2008-2019, through a model that incorporates structural breaks, and an Autoregressive Vector with Regime Change (MS-VAR). Estimates verify the influence of the monetary policy rate; risk premiums of government and corporate bonds; and the exchange rate in the stock market, identifying the differentiated response to high and low volatility scenarios.

Suggested Citation

  • Rosalinda Arriaga Navarrete & Miriam Sosa Castro & Abigail Rodríguez Nava, 2020. "Impactos monetarios sobre la rentabilidad del mercado accionario en México: Un análisis de cambio de régimen markoviano," Ensayos Revista de Economía, Universidad Autónoma de Nuevo León, vol. 39(2), pages 187-216, November.
    • Handle: RePEc:ere:journl:v:39:y:2020:i:2:id:187
    DOI: 10.29105/ensayos39.2-3
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    References listed on IDEAS

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