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...

To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for Mexico based on an arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for their liquidity risk. In addition to documenting the existence...

This paper evaluates the influence of central bank's projections and narrative signals provided in the summaries of its Inflation Report on the expectations of professional forecasters for inflation and GDP growth in the case of Mexico. We use the Latent Dirichlet Allocation model, a textmining...

This paper analyzes, using a VAR model, the effects of US central bank monetary policy announcements, and information shocks from this authority regarding its economic outlook on Mexican financial and macroeconomic variables. Shocks are identified by combining a high-frequency strategy with sign...

The Consumer Price Index is a Laspeyres index which uses a plutocratic method. This paper has three purposes. The first purpose is to assemble a democratic CPI. The second purpose is to construct an alternative one using the median of the expenditure distribution. The third purpose is to compile...

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...

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...

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...

Central bank communication is becoming a key aspect of monetary policy. How much financial markets listen and, possibly, understand Banco de Mexico's communication on its monetary policy stance should be a key consideration for the central bank to further modernize its monetary policy toolkit....

This paper highlights that central banks from Brazil, Chile, Colombia, Mexico, and Peru (the LA5 countries) reaped the benefits of what they sowed in successfully weathering the global crisis. The adoption of far-reaching institutional, policy, and operational reforms during the last two decades...