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El papel de la tasa de interés real en el ciclo económico de México

Author

Listed:
  • Arturo Antón-Sarabia

    (Division of Economics, CIDE)

  • Alan Villegas

Abstract

This paper presents a small open economy model to study the role of interest rate shocks in an emerging economy like Mexico. The interest rate is decomposed in two terms: an international rate and a country risk premia. First, it is shown that the model is able to explain several stylized facts at business cycle frequencies in Mexico. Next, the model is used to perform a contrafactual exercise. Results suggest that eliminating shocks to the international interest rate would lower output volatility between 4.2 and 5.2 percent, whereas eliminating country risk premia would lower output volatiility between 23 and 29 percent.

Suggested Citation

  • Arturo Antón-Sarabia & Alan Villegas, 2011. "El papel de la tasa de interés real en el ciclo económico de México," Working papers DTE 500, CIDE, División de Economía.
    • Handle: RePEc:emc:wpaper:dte500
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    File URL: http://www.economiamexicana.cide.edu/RePEc/emc/pdf/DTE/DTE500.pdf
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    Keywords

    interest rate; emerging economy; Mexico;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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