We examine two approaches characterized by different tail features to extract market expectations on the Mexican peso-US dollar exchange rate. Expectations are gauged by risk-neutral densities. The methods used to estimate these densities are the Volatility Function Technique (VFT) and the...

To advance our understanding of the mechanisms through which monetary policy affect the economy, in this note we analyze the volatilities of the Mexican short-term interest rate and of the peso-dollar exchange rate under two monetary policy instruments: a non-borrowed reserves requirement target...

We examine two approaches characterized by different tail features to extract market expectations on the Mexican peso-US dollar exchange rate. Expectations are gauged by risk-neutral densities. The methods used to estimate these densities are the Volatility Function Technique (VFT) and the...

The objective of this research paper is to analyze if exchange rate interventions that the Central Bank of Mexico had during the 2008-2009 financial crisis influenced the Mexican Peso-US Dollar exchange rate market expectations. Expectations are gauged by Risk-Neutral Densities (RNDs) extracted...

This paper examines two approaches characterized by different tail features to extract market expectations on the Mexican peso-US dollar exchange rate. Expectations are gauged by Risk-Neutral Densities (RNDs). The methods used to estimate these densities are the Volatility Function Technique...

To advance our understanding of the mechanisms through which monetary policy affect the economy, in this note we analyze the volatilities of the Mexican short-term interest rate and of the peso-dollar exchange rate under two monetary policy instruments: a non-borrowed reserves requirement target...