La volatilidad de la tasa de interés y del tipo de cambio bajo diferentes instrumentos de política monetaria: México 1998-2013

2014 
This research is intended to analyze the use of the Bank of Mexico of interest rate on short-term operational as an objective to transmit their signals of monetary policy to the economy. Since, January 21, 2008 the Bank of Mexico decided to formally establish operational objective as the interbank overnight interest,also known as bank lending rate, to replace the balance of current accounts that commercial banks maintain in the central bank, target known as "short". We analyze the volatility of interest rates and short-term exchange rate peso - dollar under two monetary policy instruments: the Short and interest rate targets. Using tests for multiple structural changes. Regarding the impact of the interest rate on the exchange rate and viceversa, we use a bivariate GARCH model and tests of causality in variance. In order to analyze the interaction between the volatility of the interest rate and the exchange rate, we used a multivariate model for the variances. We apply the BEKK model, which estimates the conditional variances and covariances of the series, using a multivariate method ARCH (Engle and Kroner, 1995). We found evidence that the change of operational objective, achieve less volatility of interest rate not as well of the exchange rate. According to the simulation performed on the model, the interest rate is determined by the Bank of Mexico, not the market, so the interest rate is negative for savers, which means a big risk to future volatility
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