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  • ddc:330  (13)
  • Ciudad de México: Banco de México  (13)
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  • 1
    Publication Date: 2018-07-03
    Description: In this research we develop generalized diffusion indexes for the Mexican state and sectorial economic activity. These indexes summarize the dynamics of the local cycles in a way that they are consistent with the aggregate economic activity. The proposed index includes three dimensions of the local dynamic activity: i) the variation of local cycles (positive or negative), ii) the magnitude of these variations and iii) the weight of local components (states and/or sectors) on the aggregate economic activity. The main contribution of these indexes is that they admit sub-aggregations of regions and/or sectors that are more precise and informative than their counterparts. We show two applications. In the first one, we develop the generalized diffusion index for the Mexican economy using state economic coincident indexes. In the second one, we create a diffusion index of the state and sectorial economic activity using the State Quarterly Indicator of Economic Activity (ITAEE by its Spanish acronym) produced by INEGI.
    Keywords: C1 ; C5 ; E3 ; ddc:330 ; Diffusion index ; Coincident indexes ; Economic cycles ; Monitoring
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
    Type: doc-type:workingPaper
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  • 2
    Publication Date: 2018-07-03
    Description: Commodity prices are an important driver of fiscal policy and the business cycle in many developing economies. We analyze a dynamic stochastic small-open-economy model of sovereign default, featuring endogenous fiscal policy and stochastic commodity revenues. The model accounts for a positive correlation of commodity revenues with government expenditures and a negative correlation with tax rates. We quantitatively document the extent to which the utilization of different financial hedging instruments by the government contributes to lowering the volatility of different macroeconomic variables and their correlation with commodity revenues. An event analysis illustrates how financial hedging instruments moderate fiscal adjustment in response to significant falls in the price of commodities.
    Keywords: F34 ; F41 ; F44 ; ddc:330 ; commodity revenues ; hedging ; indexed bonds ; fiscal policy ; sovereign default
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 3
    Publication Date: 2018-07-03
    Description: In this paper we introduce two general non-parametric first-order stationary time-series models for which marginal (invariant) and transition distributions are expressed as infinite-dimensional mixtures. That feature makes them the first Bayesian stationary fully non-parametric models developed so far. We draw on the discussion of using stationary models in practice, as a motivation, and advocate the view that exible (non-parametric) stationary models might be a source for reliable inferences and predictions. It will be noticed that our models adequately fit in the Bayesian inference framework due to a suitable representation theorem. A stationary scale-mixture model is developed as a particular case along with a computational strategy for posterior inference and predictions. The usefulness of that model is illustrated with the analysis of Euro/USD exchange rate log-returns.
    Keywords: C11 ; C14 ; C15 ; C22 ; C51 ; ddc:330 ; Stationarity ; Markov processes ; Dynamic mixture models ; Random probability measures ; Conditional random probability measures ; Latent processes
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 4
    Publication Date: 2018-07-03
    Description: With the purpose of measuring and monitoring systemic risk, some topological properties of the interbank exposures and the payments system networks are studied. We propose non-topological measures which are useful to describe the individual behavior of banks in both networks. The evolution of such networks is also studied and some important conclusions from the systemic risks perspective are drawn. A unified measure of interconnectedness is also created. The main findings of this study are: the payments system network is strongly connected in contrast to the interbank exposures network; the type of exposures and payment size reveal different roles played by banks; behavior of banks in the exposures network changed considerably after Lehmans failure; interconnectedness of a bank, estimated by the unified measure, is not necessarily related with its assets size.
    Keywords: C01 ; C02 ; C44 ; C63 ; G21 ; ddc:330 ; systemic risk ; financial networks ; payment systems ; Geldmarkt ; Zahlungsverkehr ; Finanzsektor ; Bank ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 5
    Publication Date: 2018-07-03
    Description: This paper describes and tries to quantify the effects of some factors that have affected costs of state owned electric utilities in Mexico (energy losses, fuel and labor). It is noted that the impact of the increases in fuel prices on the electric utilities' total cost in the last years has been important. However, the over-cost associated to energy losses and labor is also significant and comparable to the impact of the increase in fuel prices. The structure of cross subsidies in the industry is also described, pointing out that it is complex and makes the performance evaluation of the state owned electric utilities difficult.
    Keywords: H54 ; Q48 ; ddc:330 ; electricity sector ; state-owned utility ; energy losses ; CFE ; LyFC ; Elektrizitätswirtschaft ; Öffentliches Unternehmen ; Produktionskosten ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 6
    Publication Date: 2018-07-03
    Description: Recent research links the inequality across countries and regions to colonial institutions. This paper argues that trade shocks could alter the development path of a country or subnational units, in spite of its colonial institutions. This hypothesis is analyzed using state-level data for Brazil, a country with high regional heterogeneity in endowments. We find that positive trade shocks, or improvements in export tax revenues, increased expenditures on education per capita and education outcomes in the period 1889 to 1930. In fact, trade shocks ended up altering the inequality in education levels across states in a permanent way. The paper ends by explaining why politicians spent windfall tax revenues to invest on education.
    Keywords: I20 ; H41 ; H75 ; N26 ; N36 ; N46 ; N96 ; ddc:330 ; Institutions ; Fiscal Federalism ; Education ; Long Run Development ; Analphabetismus ; Bildungspolitik ; Bildungsfinanzierung ; Bildungsökonomik ; Brasilien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 7
    Publication Date: 2018-07-03
    Description: In this paper, we contribute to the discussion of what determines country risk by arguing that an important explanatory factor is the impact that commodities have on the capacity to pay. We use a newly created data base with state-level fiscal and risk premium data for Brazil states between 1891 and 1930 to show that Brazilian states with natural endowments that allowed them to export commodities that were in high demand ended up having higher revenues per capita and, thus, lower cost of capital. We also explain that the variation in revenues per capita across states was both a product of the variation in natural endowments and a commodity boom that had asymmetric effects among states. We end by running instrumental variable estimates using indices of export prices for each state to instrument for revenues per capita. Our IV estimates confirm our results that states with commodities that had higher price increases had lower risk premia.
    Keywords: H71 ; H74 ; N26 ; N46 ; N96 ; ddc:330 ; state public debt ; fiscal decentralization ; endowments ; public revenue
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 8
    Publication Date: 2018-07-03
    Description: This paper studies the historical origins of the federalist institutions in Mexico and Brazil. Using a bargaining game model, I argue that the type of commodities each country produced by the end of the nineteenth Century determined the negotiation power of local governments. This led to the buildup of opposite federalist institutions in both countries, which have persisted until nowadays. The model shows that countries with regions with more autonomy to produce and trade their commodities increase the local power to collect more taxes. While in Brazil coffee was the most important commodity, Mexico relied on mining products. Coffee was produced by local landowners who became economically powerful and they were able that export taxes were collected locally with the proclamation of the 1891 Constitution. Empirical estimates show that, after 1891, exporter states increased significantly their own fiscal revenue. On the other hand, mining was capital and technology intensive, inputs that were domestically scarce in Mexico. To finance those activities foreign investment was promoted centrally, weakening the relative power of local elites.
    Keywords: H71 ; H77 ; N46 ; N96 ; ddc:330 ; Institutions ; Fiscal Federalism ; Public Finance and Endowments ; Finanzgeschichte ; Finanzbeziehungen ; Verhandlungstheorie ; Brasilien ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 9
    Publication Date: 2018-07-03
    Description: We are interested in forecasting bankruptcies in a probabilistic way. Specifically, we compare the classification performance of several statistical and machine-learning techniques, namely discriminant analysis (Altman's Z-score), logistic regression, least-squares support vector machines and different instances of Gaussian processes (GP's) - that is GP's classifiers, Bayesian Fisher discriminant and Warped GP's. Our contribution to the field of computational finance is to introduce GP's as a potentially competitive probabilistic framework for bankruptcy prediction. Data from the repository of information of the US Federal Deposit Insurance Corporation is used to test the predictions.
    Keywords: C11 ; C14 ; C45 ; ddc:330 ; Bankruptcy prediction ; Artificial intelligence ; Supervised learning ; Gaussian processes ; Z-score
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 10
    Publication Date: 2018-07-03
    Description: This paper studies the impact of the health decentralization of funds and responsibilities that took place in Mexico in 1997 on state level health outcomes. It renders two main results. First, the magnitude of transfers from the federal government to states failed to take into account state-specific needs; instead, transfers were mainly determined by the pre-reform health expenditures of the federal government in each state. Second, decentralization did not boost the advances in health outcomes already achieved under the centralized health sector regime. We conclude by discussing plausible reasons for the disappointing impact of decentralization on health outcomes.
    Keywords: H51 ; H75 ; ddc:330 ; fiscal decentralization ; federalism ; health ; Dezentralisierung ; Finanzbeziehungen ; Gesundheitskosten ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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