This paper develops an econometric model of private investment for Mexico to perform forecasts on this variable.

We use translog cost functions to estimate own-price and substitution elasticities of input demands, economies of scale and average costs in Mexican manufacturing. Data from the Mexican Annual Industrial Survey is used for 1996, 2000 and 2003. We show that a model that allows for...

Since the adoption of inflation targeting, the seasonal appears to be the component that explains the major part of inflation's total variation in Mexico. In this context, we study the performance of seasonal time series models to forecast short-run inflation. Using multi-horizon evaluation...

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...

The volatility accuracy of several volatility forecast models is examined for the case of daily spot returns for the Mexican peso - US Dollar exchange rate. The models applied are univariate GARCH, a multi-variate GARCH (the BEKK model), option implied volatilities, and a composite forecast...

Emerging economies tend to experience larger political uncertainty and more default episodes than developed countries. This paper studies the effect of political uncertainty on sovereign default and interest rate spreads in emerging markets. The paper develops a quantitative model of sovereign...

We analyze the existence and magnitude of downward nominal wage rigidities in the Mexican labor market. We use data from the administration records of the Instituto Mexicano del Seguro Social (IMSS). These records form a firm level panel data, which allows to follow workers employed in the same...

Inflation forecasts of the Federal Reserve seem to have systematically under-predicted inflation from the fourth quarter of 1968 until Volcker's appointment as Chairman, and to systematically over-predict it afterwards until the second quarter of 1998. Furthermore, under quadratic loss,...

We analyze the issue of the impact of multiple breaks on monetary neutrality results, using a long annual international data set. We empirically verify whether neutrality propositions remain addressable (and if so, whether they hold or not), when unit root tests are carried out allowing for...

This paper proposes a method for estimating the factor shares of labor and capital using cross sectional household survey data containing detailed information on household income by source. It then applies the method to the case of Mexico, a country where factor shares are almost the opposite of...