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  • Ciudad de México: Banco de México  (49)
  • Spanish  (49)
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  • 1
    Publication Date: 2019-08-30
    Description: Based on satellite photos of night light from NASA and the U.S. Department of Defense, and using the methodology proposed by Henderson, Storeygard and Weil (2012), this paper measures the economic growth of the main 15 beach tourist areas in Mexico for the period from 1993 to 2017. This methodology opens a new series of opportunities to measure economic activity, by providing new tools for measurement at the regional level, regardless of administrative boundaries.
    Keywords: E01 ; E23 ; O11 ; O47 ; ddc:330 ; GDP ; lights ; satellites ; touristic areas
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 2
    Publication Date: 2019-08-30
    Description: In this article we study the market duration of new housing built by developers in Mexico between 2013 and 2015. In particular, this document discusses whether the physical characteristics of housing, state of location, date put on sale, time of construction, the initial price and the size of the developer have any effect on the duration of new houses in the market. We use a survival analysis Cox model. The most important results indicate that the probability of a new house being sold between t and t+1 (hazard rate) decreases with time and, in general, is lower for units of larger size, those that took much time on the construction process, and those constructed by small developers.
    Keywords: R21 ; R31 ; C41 ; ddc:330 ; Duration ; housing ; time-on-the-market ; Mexico
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 3
    Publication Date: 2019-08-30
    Description: This paper evaluates five Nowcasting models that forecast Mexico's quarterly GDP: a Dynamic Factor Model (MFD), two Bridge Equation Models (BE) and two Principal Components Models (PCA). The results indicate that the average of the BE forecasts is statistically better than the rest of the models under consideration, according to the Diebold-Mariano (1995) accuracy test. In addition, using real-time information, the BE average is found to be more accurate than the median of the forecasts provided by the analysts surveyed by Bloomberg and the median of the experts who answer Banco de México's Survey of Professional Forecasters.
    Keywords: C32 ; C38 ; E52 ; ddc:330 ; Nowcasting ; Dynamic Factor Model ; Bridge Equations ; Principal Component Analysis ; Quarterly GDP ; Diebold-Mariano test
    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: We use the national Input-Output Matrix 2012 of INEGI and Flegg's approach to estimate four Regional Input-Output Matrices (RIOM) applying Banco de Mexico's regionalization. The RIOM are employed to evaluate the effects on gross output, value added and employment at the regional level resulting from two shocks: (a) the construction of a hypothetical automotive plant worth 1,000 million dollars; and (b) the production of 200,000 vehicles per year in that plant. The exercise reveals that: (i) the construction and the operation of the plant at full capacity have differentiated effects across regions and sectors on the studied variables, in both absolute and relative terms; (ii) the spillover effects resulting of both shocks within each region are concentrated in a limited number of sectors; and (iii) the north central region resulted to be the one receiving the largest relative benefits from both shocks.
    Keywords: R11 ; R12 ; R15 ; ddc:330 ; Input-Output Model ; Regional Analysis ; Multiplier Effects ; Automotive Sector
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 5
    Publication Date: 2018-07-03
    Description: We analyze the relationship between the economic growth rate and a rule of law indicator in Mexican states during the period 2006-2013. Specifically, we employ information regarding the time it takes to solve commercial disputes in local courts, which we use as a proxy variable to measure the efficiency of the justice system. In principle, we expect that the shorter the time it takes to resolve commercial disputes, the higher the growth rates will be in the states where the firms are located. The results suggest that a 100-day decrease in the average time it takes to resolve a commercial dispute is associated with an increase of 0.6 percent in the growth rate of state per capita GDP.
    Keywords: O43 ; O47 ; ddc:330 ; Economic Growth ; Justice System ; Regional Economies
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 6
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: In stratified sampling there are designs with one unit selected per stratum or when one is willing to make estimations on unplanned domains with one unit in some strata. In these cases the variance is generally estimated by the collapsed strata method, which requires identification of the strata to be collapsed previous to variance estimation. This can be quite complex in surveys with a lot of strata or variables to estimate. In this article we propose an alternative method by means of two ratio estimators based on strata means obtained from jackknife subsamples, which are easy to compute without collapsing strata. The estimators are biased and we build the expressions for them, together with their sample estimators. Some examples are given, among them, estimations with data from the Mexican employment survey and poverty measures.
    Keywords: C80 ; C83 ; ddc:330 ; Ratio estimator ; Resampling ; Variance estimation ; Confidence interval ; Subpopulations ; Collapsed strata
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 7
    Publication Date: 2018-07-03
    Description: In this study we use data on the productive structure of Mexican states to compute a measure of economic complexity for each, as well as for each economic activity conducted there. The results show that the states differ in terms of the economic activities in which they specialize and, therefore, also in terms of their economic complexity. As previous studies have shown, at an international level, there is evidence to affirm that the measure of economic complexity is relevant in explaining the observed economic disparities, since it is positively related to both the levels of wealth and the growth rates of the states.
    Keywords: O10 ; O14 ; O47 ; ddc:330 ; Diversity ; Ubiquity ; Complexity ; Economic Growth
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 8
    Publication Date: 2018-07-03
    Description: This document studies the recent evolution of the break-even-inflation implicit in the yields of long-term financial instruments in Mexico. In particular, it analyzes the dynamics of its main components: the long-run inflation expectation and the inflationary risk premium, which are estimated by means of an affine term structure model of interest rates. The results show that the gradual reduction registered in such compensation in the last years is the result of the decrease showed by both components. This reflects, on the one hand, the progressive convergence of the estimated inflation expectation to Banco de México's inflation target as well as its anchoring and, on the other hand, that nominal-bond holders have required a lower hedging against future inflation, possibly, as a reflection of a lower risk perception associated to it.
    Keywords: E31 ; E43 ; E52 ; G12 ; ddc:330 ; Inflation ; Break-even-inflation ; Inflation expectation ; Inflationary risk premium
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 9
    Publication Date: 2018-07-03
    Description: We construct inflation pressure indicators based on the long-run relationship that exists between monetary aggregates and prices, once it is adequately adjusted to account for the scale of transactions, as well as the opportunity cost of holding money. To that end, an extensive long-run econometric analysis of money demand is carried out for Mexico using the monetary aggregate M1. Based on it, two indicators are calculated, the money gap and the m* indicator. Such gap measures deviations of real M1 from its relationship with its long-run determinants. The m* indicator is based on the estimation of the price index which is congruent with the quantity of M1 in the economy once it is adjusted for the long-run tendency of its determinants considering its long-run coefficients. Our results indicate that monetary policy has been congruent with the inflation target of Banco de México.
    Keywords: C22 ; C32 ; E31 ; E41 ; E51 ; ddc:330 ; money demand ; inflation ; money gap ; autoregressive distributed lag model ; cointegration ; general-to-specific ; stability ; structural change
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 10
    Publication Date: 2018-07-03
    Description: We calculate the short-run effect that the construction of the 230km-long Durango-Mazatlán highway in 2013 and of the 290km-long Mexico City-Tuxpan highway in 2014 produced on market-access in every location in Mexico. Our estimates suggest that the former highway produced benefits not only in the region where the new highway is located, but in vast regions in the north of the country. Analogous estimates show that the latter highway mostly benefited regions near Tuxpan, but these focalized benefits were larger than any of the benefits derived from the construction of the Durango-Mazatlán highway.
    Keywords: R4 ; F1 ; H5 ; ddc:330 ; infrastructure ; market access ; transport costs
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 11
    Publication Date: 2018-07-03
    Description: This research presents a methodology to identify regional clusters based on the estimation of location's coefficients and measures of spatial autocorrelation. Local Moran I index is used as a measure of spatial autocorrelation, which allows to obtain a more varied typology of regional clusters. The methodology was applied to both the Mexican manufacturing industry as a whole, and its partition in 14 industry groups for 1993 and 2008. The results indicate the existence of heterogeneity in regional patterns of agglomeration of manufacturing activity at the aggregate level and at group level. It is shown that the process of relocation of manufacturing industry that occurred after the entry into force of the North American Free Trade Agreement (NAFTA) differentially affected the patterns of agglomeration of activity in different regions of the country.
    Keywords: L60 ; R11 ; R12 ; ddc:330 ; Spatial autocorrelation ; Location coefficient ; Regional clusters ; Manufacturing
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 12
    Publication Date: 2018-07-03
    Description: This paper presents an econometric analysis of the demand for the monetary aggregate M1 in Mexico. Using cointegration techniques, we identify both a stable long-run relationship between M1 and its determinants, and a statistically sound single-equation error-correction model. Results are used to carry out the following simple applications: (1) empirical determination of the value and stability of dual inflationary equilibria, given the observed seigniorage levels; (2) calculation of the seigniorage maximizing inflation rate, and (3) analysis of the potential relationship between a measure of excess money and inflation. Results indicate that the low inflation equilibrium is stable, and that the excess money indicator shows, in retrospective, some capacity in predicting inflationary pressures.
    Keywords: C22 ; C32 ; E31 ; E41 ; H62 ; ddc:330 ; demand for money ; seigniorage ; inflation ; dual inflationary equilibria ; cointegration ; general to specific ; money gap
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 13
    Publication Date: 2018-07-03
    Description: A tool that has been widely used to identify the state of financial conditions in a country are the financial conditions indexes, since they synthesize information from different variables in a single indicator allowing to identify the general behavior of financial conditions in a timely and condensed manner. In this paper we construct and analyze a Financial Conditions Index (FCI) for Mexico that allows to capture diverse episodes of financial stress and to know the main factors behind movements in financial conditions. The results show that this FCI adequately captures moments of astringency in financial markets in Mexico such as the financial crisis of 2008-2009, the crisis in Europe in mid-2011, the beginning of the "tapering talk" in the United States in the second half of 2013, among others. Keywords: Financial conditions index, principal components, Mexico
    Keywords: G1 ; G10 ; G14 ; G15 ; G19 ; ddc:330 ; financial conditions index ; principal components ; Mexico
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 14
    Publication Date: 2018-07-03
    Description: During the 2000s, recurrent food price shocks due to volatility in international markets and extreme weather events affected consumption and nutritional patterns of Mexican urban households. This research quantifies the impacts of food price shocks on the purchase of nutrients and on the weight gain of children in urban Mexican households. We find differentiated patterns of food consumption across income quintiles, which result in heterogeneous effects of price shocks on the purchase of nutrients and on weight gain according to age and sex in children. In particular, cereal price shocks are more detrimental and more regressive than price shocks on other categories like meats or beverages.
    Keywords: D12 ; C31 ; O12 ; ddc:330 ; Food price elasticities ; Nutrient elasticities ; Food security ; Nutrition ; Welfare
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 15
    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
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  • 16
    Publication Date: 2018-07-03
    Description: In the estimation of proportions using simple random sampling, the maximum value of the variance can be used to compute the sample size when there is no information of the variable of interest. We extend this result to the estimation of proportions under two-stage cluster sampling with equal sizes, showing the expression for the maximum variance. As a by-product it is immediate to obtain bounds for the design effect and the coefficient of variation of the proportion estimator. Some examples are given related to the computation of the bounds.
    Keywords: C80 ; C83 ; ddc:330 ; Maximum variance ; Sample size ; Design effect ; Coefficient of variation
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 17
    Publication Date: 2018-07-03
    Description: The aim of this paper is to make imputations of earnings to observations with missing earnings in the Encuesta Nacional de Ocupaciones y Empleo (ENOE). We present imputations by two methods and also a correction of estimations by reweighting observations with reported earnings. Then, we analyze the possible bias in estimations of mincer equations and labor poverty derived from ignoring observations with missing earnings. The results show that when missing earnings are not considered in estimations, there are differences in the parameters that define the relationship between the human capital level and earnings, as well as those that describe the determinants of labor poverty, compared to the results obtained from estimations that consider all observations. Differences are more significant when we analyze labor poverty.
    Keywords: C18 ; C81 ; D10 ; J24 ; ddc:330 ; imputations ; earnings ; human capital ; labor poverty ; matching
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 18
    Publication Date: 2018-07-03
    Description: In order to create an environment of low and stable inflation in Mexico it has been necessary to generate a framework for the conduction of monetary policy focused on price stability along with fiscal discipline. This paper describes some structural achievements to control inflation that have been attained in Mexico. In addition, it shows empirical evidence in favor of the anchoring of inflation expectations, particularly those for the medium and long term, being recently strengthened. Considering three episodes, within the period 2004-2012, in which inflation was subject to different supply shocks, it finds that during the episode in 2012 inflation expectations showed greater stability. Results show that the response from inflation expectations to supply shocks has diminished over time, up to values that are not significantly different from zero. This suggests a strengthening of the credibility of the Bank of Mexico's commitment to price stability.
    Keywords: E52 ; E58 ; E65 ; ddc:330 ; inflation expectations ; anchoring inflation expectations ; cost-push shocks
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 19
    Publication Date: 2018-07-03
    Description: The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the method of principal components. The forecasting model is specified as a linear relationship between each of the interest rates and these factors, for maturities of 1 to 60 months. Affine model predictions are compared with four benchmark models: a forward rate, an AR(1), a VAR(1), and a random walk model. The main finding is that the affine model has a performance comparable to benchmark models for horizons of 12 and 18 months, except for the random walk model. However, improving its forecasting performance for the 24-month horizon, and especially for 60-month maturities.
    Keywords: G12 ; E43 ; C12 ; C53 ; ddc:330 ; Affine Model ; Forecasts ; Yield Curve ; Principal Components ; Condition of no Arbitrage
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 20
    Publication Date: 2018-07-03
    Description: This study decomposes both the labor productivity gap and the labor productivity growth into the contributions of technical efficiency, capital deepening and technological change for Mexican manufacturing at the regional level. In order to do so, we apply a methodology that combines two literatures: the nonparametric construction of production frontiers and the general decomposition approach developed by Shorrocks (2012) which is based on the Shapley value. The results indicate that regional differences in labor productivity are mainly attributed to technical efficiency, and, to a lesser extent, to regional differences in capital deepening. Moreover, labor productivity growth was not homogeneous across regions over the period 1998-2008. In both the north and the south, the increase in labor productivity was mainly driven by technical efficiency, while technological change was the most influential factor on labor productivity growth in the central regions.
    Keywords: J24 ; L60 ; R1 ; ddc:330 ; Capital intensity ; Labor productivity ; Technical efficiency ; Technological change ; Manufacturing ; Shapley value
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 21
    Publication Date: 2018-07-03
    Description: This paper analyzes the adjustment strategies used by some Mexican firms to face supply and demand shocks. The information is provided by a survey carried out in 2012 by Banco de M'exico among 1,138 firms from different sectors. The results show that the response of firms to both types of shocks is not symmetrical in general, and that firms react to these shocks combining adjustment strategies (mostly choosing to reduce costs) to smooth the pass-through to prices and production. Stronger competition makes firms use the adjustment strategies more intensively, and it encourages price flexibility. For all shocks, the costs more likely to be reduced are non-labor costs, followed by temporary employment. A high degree of competition and a high labor share make the pass-through of shocks to employment stronger. On the other hand, collective wage agreements smooth this pass-through. Nominal wage rigidity is evident in the presence of any shock.
    Keywords: J30 ; J31 ; D21 ; D22 ; E3 ; ddc:330 ; firms survey ; price, cost, wage, and employment adjustment ; supply and demand shocks ; competition ; Wage Dynamics Network (WDN)
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 22
    Publication Date: 2018-07-03
    Description: Economic literature had shown the existence of the interrelationship between the financial decisions of the firms and their competitive decisions; either by convenience or by data availability, most of empiric papers addressed separately the influence of both kinds of decisions over firm performance. With it, this paper through a cross-section model, which uses information of around 3,900 enterprises in 14 Iberoamerican countries, explores jointly the possible effects of both kinds of decisions of the firms (financial and competitive) over their performance. The results suggest the existence of differences in the relationships between variables accordingly the market competition intensity. Also the results suggest that the financial decisions of the firms could be used as an additional tool of the competitive strategy of the firms.
    Keywords: G32 ; L20 ; ddc:330 ; indebtedness ; trade credit ; competition ; firm performance
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 23
    Publication Date: 2018-07-03
    Description: In this paper, we study various key structural features of sugarcane production and sugar mills in Mexico. Regarding the production of sugarcane: (a) we document a U-shaped relationship between the size of sugarcane cultivation plots and their yield, and show suggestive evidence that this relationship is driven by the more intensive use of inputs in smaller and larger plots relative to those of medium size; (b) we argue that there are factors that complicate the functioning of the land market; and (c) we present evidence refuting the conjecture that the mechanism used to determine payments for sugarcane affects negatively the quality of this crop. With respect to sugar mills, we find that those mills that are able to generate electricity more efficiently tend to observe higher returns in sugar production.
    Keywords: D23 ; D24 ; L66 ; Q1 ; ddc:330 ; Sugar ; Sugar Industry ; Competitiveness ; Sugarcane ; Plot Yield ; Sugar Mill Efficiency
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 24
    Publication Date: 2018-07-03
    Description: This paper estimates the magnitude of the exchange rate pass-through to consumer prices in Mexico. Moreover, it analyzes if the pass-through dynamics have changed in recent years. In particular, it uses a methodology that generates results consistent with the hierarchy implicit in the CPI. The results suggest that the exchange rate pass-through to the general price level is low and not statistically significant. However, the pass-through is positive and significant for goods prices. Furthermore, the exchange rate pass-through declined over the 2000's and the depreciation observed in 2011 did not change this trajectory.
    Keywords: E31 ; F31 ; F41 ; ddc:330 ; Depreciation ; Inflation ; Exchange Rate Pass-through
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 25
    Publication Date: 2018-07-03
    Description: In the firm's competitive strategy act together their financial decision and their decisions in the product markets. Even if in the last three decades the theoretical and empirical literature has growth, still are topics few explored. One of them is the relationship between firm's asset specificity, as a characteristic of the competitive environment, and their indebtedness as competitive tool. This paper tries answer if additionally to the level of specificity in the firm's assets the corporations use their indebtedness as another tool in their competitive strategy. The results show that the asset specificity influences in different way the firms' debt, the effect differs accordingly at the debt' maturity and the competitive environment faced.
    Keywords: G32 ; L10 ; ddc:330 ; Asset specificity ; Indebtedness ; Competitive strategy
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 26
    Publication Date: 2018-07-03
    Description: This paper introduces an indicator of consumers' inflation expectations based on data from the National Consumer Confidence Survey of Mexico (ENCO, in Spanish), and tests its predictive power over CPI inflation and other measures of inflation that correspond to smaller baskets of consumer goods, for periods that range from 1 to 12 months. Our findings show that between January 2003 and September 2010, the predictive capability of the indicator over the different measures of inflation used was weak. Due to a modification in the survey questionnaire in October 2010, as of that date we observe a significant change in the responses and, thus, in the behavior of the indicator of consumers' inflation expectations. For this reason, from October 2010 on the main use of this indicator is to be a reference of consumers' confidence in price stability.
    Keywords: C14 ; E31 ; E58 ; ddc:330 ; CPI inflation ; consumers' inflation expectations ; household surveys ; consumer surveys ; consumer confidence surveys ; ENCO ; Verbraucherpreisindex ; Inflationserwartung ; Verbraucher ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 27
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: This paper presents an analysis of the expected inflation distribution based on the surveys made to economic analysts in the private sector, by Banco de México. Conceptually, the analysis can be divided into three aspects: level, dispersion, and skewness, of expected inflation. It is anticipated that the behavior of these aspects will be consistent with the process of inflation convergence to its target, in the sense that the expected inflation level and dispersion, and the probability of observing a sizable realization of inflation have been diminishing, as the cited process has taken place. Additionally, first, a model is presented in which agents face a cost when they update their in ation expectation. This model explains some of the facts seen in inflation expectation dispersion. In the model, the decrease in the dispersion is consistent with an increase in the frequency with which the agents update their inflation expectation, as observed in the data. Second, under an event-study framework the respond of upside risks of inflation expectations to the approval of the Income Law is analyzed. The results suggest that once the cited law is approved, on average there is a decrease in such risks.
    Keywords: E31 ; D84 ; ddc:330 ; Inflation ; Expectations ; Expected Inflation ; Inflationserwartung ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 28
    Publication Date: 2018-07-03
    Description: In this document we analyze the evidence of daily seasonality found in the weekly price variations of food, beverages, and tobacco in the Metropolitan Area of Mexico City. Our research is based on the daily price quotes of 2,724 goods, collected by Banco de México for the Consumer Price Index (CPI), in 434 commercial establishments between March 2009 and June 2010. We identify the weekday with the lowest weekly variation in prices, and find that it differs across products, types of commercial establishment, and supermarket chains. Moreover, we find that such a day of the week effect increases the volatility of the weekly variations of price quotes. These results establish the day of the week among the distinct characteristics of a price, a fact that must be taken into account while preparing calendars for CPI data collection.
    Keywords: B4 ; D4 ; L16 ; L81 ; ddc:330 ; daily prices ; retail sales ; seasonal price patterns ; dynamic pricing policies ; CPI methodologies ; Einzelhandel ; Einzelhandelspreispolitik ; Verbraucherpreisindex ; Saisonschwankung ; Mexiko-Stadt
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 29
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: This article presents three methods to estimate the logarithm of monthly real GDP in Mexico from the Global Indicator of Economic Activity (IGAE): (1) a deterministic approach using the IGAE growth rate; (2) an extension of Denton method; and, (3) the Kalman filter. In these methods the monthly GDP is regarded as an unobservable variable that is approximated using only the IGAE. Results suggest that the method based on the Kalman filter seems to fit better the observed data of quarterly GDP under several error measures. By analyzing different estimation periods it was found that the parameters corresponding to the filter remained relatively stable over the period of study. Therefore, this method was used to perform out-of-sample forecasts.
    Keywords: C22 ; D24 ; E23 ; E27 ; ddc:330 ; Gross Domestic Product ; Global Indicator of Economic Activity ; Kalman Filter ; Denton Method ; Forecasts ; Sozialprodukt ; Wirtschaftsindikator ; Zustandsraummodell ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 30
    Publication Date: 2018-07-03
    Description: In this paper we analyze the synchronization between the business cycles of US and Mexican regions. Regional economic activity in Mexico is measured using regional coincident indexes recently developed at Banco de México, while US aggregate economic activity is measured with the national coincident index of the Federal Reserve Bank of Philadelphia. The framework for the empirical analysis is the structural linear times series model. We find a regional pattern in the covariance between cyclical disturbances in the US and in the Mexican regions: it is higher in the Northern than in the Central and Southern regions of the country. We also find that the elasticity of Mexican regional economic activity with respect to the US's aggregate economic activity exhibits a similar pattern. Moreover, while the variance of the business cycles in the Northern, North-Central, and Central regions is mostly associated with shocks to the US economy, in the Southern region it is mostly related to specific shocks to the Mexican economy.
    Keywords: E32 ; E37 ; R11 ; ddc:330 ; business cycles ; coincident indexes ; co-movement ; Mexico ; United States ; Konjunkturzusammenhang ; USA ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 31
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: The estimation of the sample size is a crucial part of the planning process of a survey and it can be accomplished in different ways, some of them require information not available or that may be obtained with a substantial cost. The estimation of the sample size can be done by using the design effect estimator proposed by Kish. This estimator is also used as an efficiency measure for a probability sampling plan and to build confidence intervals. Even though the design effect estimator is widely used in practice, little is known about its statistical properties and there are no variance estimators available. In this paper we show that the design effect estimator is biased, we give an expression for an upper bound to the ratio of the bias to the standard error and a method to estimate the variance. With these elements it is possible to improve the precision of the estimators during the planning and estimation stage of a survey. This also results in a better resource allocation during the planning stage of a survey.
    Keywords: C80 ; C83 ; ddc:330 ; Ratio estimator ; Design effect ; Variance of variances ; Sample size ; Coefficient of variation ; Resampling method ; Confidence interval
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 32
    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
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  • 33
    Publication Date: 2018-07-03
    Description: This paper, first, reviews briefly the literature on the term structure of interest rates, citing some of the most important studies done on the topic for the Mexican case in the last years. In addition, the development of the government debt market is described. Second, evidence against the expectation hypothesis is shown and the deviations of the term structure from this hypothesis are examined. Third, it is documented that much of the variability of the term structure is due to changes in its level. Fourth, some of the statistics of the term structure are associated with macroeconomic variables, specifically the shortterm rate and the output gap as measured with the IGAE index. Regarding this last point, evidence is found that changes in the term structure of interest rates' slope are associated with the monetary policy stand along the business cycle. The nominal interest rates used in the analysis go from July 2002 to June 2011.
    Keywords: E43 ; G12 ; ddc:330 ; Term Structure of Interest Rates ; Expectation Hypothesis ; Principal Component Analysis ; Nominal Interest Rates ; Zinsstruktur ; Zins ; Erwartungstheorie ; Hauptkomponentenanalyse ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 34
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: This paper estimates private returns to education in Mexico by means of the Mincer model. The natural ability bias that the literature reports in this type of estimations is tried to be solved using the control function method. Through this method some variables relevant to wage determination are included in the model, such as natural ability index, mother's education, household infrastructure, height and health. Results suggest that the returns to education by year of schooling in Mexico are between 8.2% and 8.4 %. On the other hand, results by level of education suggest that more education is associated with higher returns. The highest return to education in both absolute and relative terms is provided by Postgraduate education followed by Graduate education. In general, results suggest that there is a convex relationship between education level and wage.
    Keywords: I21 ; J24 ; J31 ; ddc:330 ; private returns to education ; natural ability bias ; natural ability index ; mother's education ; Mexico ; Bildungsertrag ; Frauenbildung ; Mütter ; Bildungsverhalten ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 35
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: Following the Hotelling model of spatial competition used by Massoud and Bernhardt (2002) to analyze competition in ATM fees, in this paper we analyze the effects of banning fees on the usage of ATMs by account holders. We find that the prohibition also reduces the fees charged to non-account holders but increases fixed fees. This latter increase is on average smaller than the decrease of the former two, which leads total consumer welfare to increase. We also find that the prohibition decreases total surplus but that this decrease is absorbed by the banks' profits. The model does not consider the decision of banks to open or closedown ATMs, which we leave for future research.
    Keywords: G21 ; L51 ; D40 ; ddc:330 ; banking competition ; ATM fees ; bank regulation ; retail banking ; Electronic Banking ; Bankentgelt ; Bankenregulierung ; Privatkundengeschäft ; Räumlicher Wettbewerb ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 36
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: It has been found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes. This paper introduces a simple method which guarantees convergence of this t-statistic to a pivotal limit distribution, when there are drifts in the integrated processes generating the data, thus allowing asymptotic inference. This method can be used to distinguish a genuine relationship from a spurious one among integrated (I(1) and I(2)) processes. Simulation experiments show that the test has good properties in small samples. When applying the proposed procedure to real data (including the marriages and mortality data of Yule), we do not find (spurious) significant relationships between the variables.
    Keywords: C12 ; C15 ; C22 ; C46 ; ddc:330 ; Spurious Regression ; Integrated Process ; Detrending ; Asymptotic Theory ; Cointegration ; Monte Carlo Experiments
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 37
    Publication Date: 2018-07-03
    Description: This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements, wars, and financial and economic crises. These changes are modeled through logistic smooth transition functions, in which transition periods are endogenously estimated. In terms of growth rates, our results indicate that for Mexico real and real per capita GDP, there are four stationary growth paths, separated by three transition periods. For instance, for real GDP we identify the following stationary growth paths: 1895-1924, 1935-1952, 1956-1978, and 1989-2008, separated by three transition periods: 1925-1934, 1953-1955, and 1979-1988.
    Keywords: C12 ; C13 ; C15 ; C22 ; O47 ; O54 ; ddc:330 ; gross domestic product ; economic growth ; stationarity ; unit root ; structural break ; logistic function ; smooth transition ; Wirtschaftswachstum ; Sozialprodukt ; Strukturbruch ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 38
    Publication Date: 2018-07-03
    Description: This paper analyzes the pass-through of exchange rate to different price indexes in Mexico. The analysis is based on a vector autoregressive model (VAR) using monthly data from January 1997 to December 2010. The pass-through effects are calculated by means of accumulated impulse response functions to a recursively identified exchange rate shock. The results show that the exchange rate pass-through to import prices is complete, but it declines along the distribution chain in such a way that the impact on consumer prices is below 20 percent. Moreover, we find that the exchange rate pass-through seems to have decreased substantially from 2001 onwards, which coincides with the adoption of an inflation targeting regime by Banco de Mexico.
    Keywords: E31 ; F31 ; F41 ; ddc:330 ; exchange rate pass-through ; import price ; consumer price ; distribution chain ; inflation ; Exchange Rate Pass-Through ; Preisindex ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 39
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: Using various statistical measures we estimate the degree of comovement and cyclical synchronization of formal employment across Mexican states. As a measure of formal employment we use the number of workers with permanent contracts registered at the Instituto Mexicano del Seguro Social in each state between July 1997 and April 2009. We find that Mexican states are highly heterogeneous with respect to the degree of employment comovement and the association between the state and national employment. Only in 11 of the 32 states we find that fluctuations in state employment are highly synchronized between them and with national employment. These states are located in the northern border with the United States, in the center west and in the center of the country. Additionally, we find evidence of employment comovement, albeit much weaker, in 4 states located in the vicinity of Mexico City. In the rest of the states, employment fluctuations are unrelated to national employment or other states' employment fluctuations.
    Keywords: E32 ; R11 ; R23 ; ddc:330 ; employment ; cycles ; comovement ; states ; regions ; Mexico ; Regionale Arbeitslosigkeit ; Teilstaat ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 40
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: We determine the extent of cyclical comovement in employment among the regions of Mexico by analyzing the covariance of the disturbances in regional cycles during the period July 1997 - October 2009. Employment refers to the number of workers with permanent contracts affiliated to the Instituto Mexicano del Seguro Social. Trend and cycle decomposition and the variance-covariance matrix of the cycle's disturbances are obtained from the estimation - using state space methods - of a structural multivariate model of the employment time series. We find, for most regions, that employment comovement is high and that the variance of the regional cycles' disturbances is largely associated with the fluctuations in national employment. We do not find evidence, however, of a common underlying cycle, which means that employment comovement would arise from the geographical propagation of regional specific shocks.
    Keywords: E32 ; R11 ; R23 ; ddc:330 ; employment ; comovement ; regions ; Mexico ; Regionale Arbeitslosigkeit ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 41
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: This article applies fuzzy set theory to measure three dimensions of poverty in Mexico: monetary poverty, non-monetary poverty of private goods and non-monetary poverty of public goods. By using those three dimensions, it is possible to build a joint membership to classify poverty in manifest, latent and non-poverty, which are computed for the three types of official poverty used in Mexico, for urban and rural areas and for the total of households and individuals in Mexico from 1994 to 2006. Moreover, confidence intervals are calculated for each estimation, which are used to establish if there are statistically significant changes along time. Results show that, although poverty in Mexico has diminished between 1994 and 2006, its evolution has been different according to the area and the type of poverty analyzed.
    Keywords: I32 ; ddc:330 ; multidimensional fuzzy poverty ; monetary poverty ; non monetary poverty ; manifest poverty ; latent poverty ; Armut ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 42
    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
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  • 43
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: We give a new way to price American options, using Samuelson's formula. We first obtain the option price corresponding to a European option at time t, weighting it by the probability that the underlying asset takes the value S at time t. This factor is given by the solution of the Fokker-Planck (Kolmogorov) equation for the transition probability density. The main advantage of this approach is that we can introduce systematically the effect of macroeconomic factors. If a macroeconomic framework is given by a dynamic system in the form of a set of ordinary differential equations we only have to solve a partial differential equation, for the transition probability density. In this context, we verify, for the sake of consistency, that this formula is consistent with the Black-Scholes model.
    Keywords: ddc:330 ; american options ; Fokker-Planck ; Black-Scholes ; Samuelson ; density probability function
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 44
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: In this paper, we conducted a detailed statistical analysis of the behavior of the Mexican CPI price variations from May 2003 to August 2006. Different methodologies allowed identification of possible classification problems of the subindexes and inflationary pressures on specific items during the sample period. Regarding classification problems, education was included in non-core inflation during the sample period; however in our study, it showed similarities in distribution and moments to the subindexes of core inflation. Note that education was reclassified into core inflation from January 2008. Regarding inflationary pressures, the highest means and variances were seen in fruits and vegetables at the subindex level, and in products related to agriculture, processed food, energy, and metals at the item level. However further analysis of incidences showed that a considerable part of headline inflation during the studied period was explained by a few individual items.
    Keywords: C19 ; E31 ; ddc:330 ; Mexican CPI ; Sample distributions and descriptive measures ; Dendrograms ; Principal component analysis ; Verbraucherpreisindex ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 45
    Publication Date: 2018-07-03
    Description: This document analyzes inflation, exchange rate, interest rate, and GDP growth forecasts from the monthly Survey of Specialists in Economics from the Private Sector, maintained by Banco de M'exico. The study concentrates on the mean across forecasters for the period from January 1995 to April 2008. The study evaluates the efficiency in the use of information and the relative performance using as benchmarks forecasts from time series models and from other macroeconomic variables. Inflation, interest rate, and GDP expectations seem to incorporate information in a relatively efficient manner. These forecasts appear to be better, in mean squared error terms, than the benchmark forecasts, except for the case of one-yearahead inflation. In addition, exchange rate forecasts do not seem to optimally incorporate available information and do not seem to improve upon forecasts obtained from a random walk model.
    Keywords: C22 ; C53 ; E17 ; E37 ; E47 ; F37 ; ddc:330 ; Predictive ability ; Rational expectations ; Rolling-forecasts ; Wirtschaftsprognose ; Inflation ; Zins ; Sozialprodukt ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 46
    Publication Date: 2018-07-03
    Description: We estimate wage differentials across different sectors of the Mexican economy. The results suggest that the wage differential between the formal and informal sectors is significant and larger than the differential between industry and services. The findings suggest that significant differences in productivity levels between the formal and informal sectors could exist. This, in turn, might imply that the economy's aggregate productivity could be affected by the increase of the share of informal employment. The results also suggest that the main distortions in the Mexican labor market seem to be related more with labor regulations that affect the allocation of resources between formal and informal activities, than a result of intrinsic characteristics of the production processes in the industrial and service sectors.
    Keywords: J24 ; J31 ; O17 ; ddc:330 ; Informal Sector ; Productivity ; Labor Market Distortions ; Städtischer Arbeitsmarkt ; Lohnstruktur ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 47
    Publication Date: 2018-07-03
    Description: There are a significant number of papers that show that the slope of the yield curve has a certain ability to forecast real economic activity and inflation. However, in emerging economies this source of information has not been thoroughly used; Mexico is not an exception. The economic stability achieved in this country in recent years has allowed the government to issue, since 2001, long-term bonds. With more stable economic cycles, the information included in the long part of the yield curve could be a useful tool to estimate future economic activity. This document analyses the predictive power of the spread. Moreover, the spread is divided into two main components to analyse the origin of its predictive power. Next, the power of the spread to forecast economic cycles is tested. Last, out-of-sample tests of the spread are carried out. The findings show that the yield curve provides significant information about future economic activity.
    Keywords: C5 ; E44 ; E52 ; F37 ; ddc:330 ; Yield curve ; forecasting ; economic activity
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 48
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: During the last years, Mexico has registered relatively large output falls. The business cycle accounting method of Chari, Kehoe and McGrattan (2007) is applied to the two most recent recessions in Mexico (including the 'Tequila crisis') in order to understand what are the most important wedges driving output over the cycle and to evaluate to what extent such falls may be smoothed. First, it is found that efficiency and labor wedges may reasonably account for output fluctuations in each recession. Second, counterfactual exercises suggest that the elimination of distortions represented in terms of the efficiency wedge might result in output falls about one third of those observed in the data.
    Keywords: E32 ; O41 ; O54 ; ddc:330 ; Business cycle accounting ; Tequila crisis ; Total factor productivity ; Mexico ; Konjunktur ; Produktivität ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 49
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    Ciudad de México: Banco de México
    Publication Date: 2018-07-03
    Description: This paper provides a description of some of the empirical regularities for the Mexican business cycle. The purpose is to have a benchmark for assessing dynamic stochastic general equilibrium models for the Mexican case. We follow the Kydland and Prescott methodology to describe the cyclical properties of the Mexican business cycle. We describe the volatility of several macroeconomic variables as well as their correlation with GDP. We use two filters to remove trends from the data: Hodrick-Prescott filter and Baxter-King filter. The idea is to check the robustness of the results. Qualitatively the findings are similar across both filtering methods. In order to analyze changes in the properties of the Mexican business cycle, the whole period of analysis is divided into two sub-periods, 1980-1995 and 1996-2006. The first sub-period is marked by high economic instability and the second and most recent sub-period is marked by a significant decrease in the volatility of all variables.
    Keywords: E30 ; ddc:330 ; Mexican Economy ; Business Cycles ; Konjunktur ; Mexiko
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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