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Un análisis de la política monetaria en México y sus efectos en variables reales, 1995-2011: un modelo VAR en un ambiente browniano

Author

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  • Martínez-García, Miguel Ángel.

    () (Escuela Superior de Economía, IPN)

  • Venegas-Martínez, Francisco.

    () (Escuela Superior de Economía, IPN)

  • Trejo-García, José Carlos.

    () (Escuela Superior de Economía, IPN)

Abstract

La presente investigación tiene como propósito mostrar que la política monetaria del Banco Central de México, vista a través del objetivo de saldos de cuenta corriente con la banca (CORTOS) hasta 2008 y posteriormente con un objetivo de tasa de fondeo bancario a un día, repercute en variables reales, particularmente en el PIB. Para ello se utiliza la técnica de Vectores Autorregresivos (VAR) y la prueba de causalidad de Granger bajo el supuesto de que las variables relevantes se modelan con simulación Monte Carlo en un ambiente browniano. Por último, se lleva a cabo un análisis de funciones de impulso-respuesta para ver la persistencia y magnitud de choques exógenos./ This research is intended to show that the Mexican Central Bank’s monetary policy, as seen through the current account balances with the banks until 2008 and thereafter the overnight interbank rate target of one day term, impact in real variables, particularly in the GDP. To be able to do this, we use the technique of Vector Autoregressive (VAR) and Granger causality test under the assumption that the relevant variables are modeled with Monte Carlo simulation in a Brownian environment. Finally an analysis impulseresponse functions to see the persistence and magnitude of exogenous shocks is carried out.

Suggested Citation

  • Martínez-García, Miguel Ángel. & Venegas-Martínez, Francisco. & Trejo-García, José Carlos., 2013. "Un análisis de la política monetaria en México y sus efectos en variables reales, 1995-2011: un modelo VAR en un ambiente browniano," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(16), pages 77-103, primer se.
  • Handle: RePEc:ipn:panora:v:viii:y:2013:i:16:p:77-103
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    References listed on IDEAS

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    1. Christiano, Lawrence J & Eichenbaum, Martin & Evans, Charles, 1996. "The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 16-34, February.
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    Keywords

    política monetaria; VAR; saldos o cortos; tasa de fondeo./ monetary policy; VAR; current account balances; overnight interbank rate.;

    JEL classification:

    • 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
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General

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