In this paper we investigate empirically the relationship among conditional mean and variances of exchange rate depreciation, inflation and output growth in Mexico using a multivariate GARCH-in-mean model (MGARCH-M). The study is performed with monthly data over the period 1993-2009. The results...

This paper investigates empirically the relationship between inflation, inflation volatility and output growth in the case of México using monthly data over the period 1993-2011. Specifically a bivariate GARCH-M model is estimated to test the hypotheses that inflation rates are directly related...

This paper investigates empirically the relationship between inflation, inflation volatility and output growth in the case of México using monthly data over the period 1993-2011. Specifically a bivariate GARCH-M model is estimated to test the hypotheses that inflation rates are directly related...

In this paper we investigate the effects of volatility of the fundamental determinants of trade on trade flows in Mexico during the period 1991-2008. Our import and export functions are based on the well known imperfect substitute goods model of trade. We focus on the effects on imports and...

In this paper we investigate whether the communication bias of the Bank of Mexico provides information that helps to anticipate the course of monetary policy in subsequent periods. We first construct an objective index of the communication bias, based upon an statistical analysis of key terms...

In this paper we investigate empirically the determinants of credit default rates in the Peruvian system of Municipal Banks of Savings and Credit, using a dynamic fixed effects model with monthly data, over the period 2003-2010. We postulate that credit default rates are positively related to...

This paper explores empirically the relationship between the Monetary Policy in the U.S. and the real exchange rate MXN/USD over the period 1996-2012 with monthly data. We consider a cointegration approach using a model of real exchange rate fundamentals as in Goldfajn and Valdes (1999), where...

The paper explores the influences of financial development on economic growth and its volatility. First, it discusses the theoretical literature that attempts to explain these relationships. Then, it presents time series evidence for the cases of Mexico and the US. We use GARCH models, which...

In this document we analyze the dynamics of per capita value added in manufacturing as a proxy of per capita income in Mexico’s municipalities and US counties. Specifically we seek to determine if there is convergence (absolute or conditional), divergence or stratification. A dynamic panel...

This paper uses a cointegration approach to estimate the demand functions for imports and exports in Mexico. The especification of each function is derived from the model of imperfect substitute goods and are estimated using monthly data over the period 1991-2005. It is found that all variables...