Evaluación del impacto del mercado de derivados en los canales de transmisión de la política monetaria en México: Metodologías VAR y M-GARCH

Elisa Yamazaki Tanabe and José Carlos Ramírez Sánchez
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Elisa Yamazaki Tanabe: ITESM
José Carlos Ramírez Sánchez: ITESM

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2010, vol. 4, issue 2, 47-78

Abstract: This research paper explores some of the implications on the derivatives markets of the monetary policy responsibilities that a Central Bank can have in order to increase the transparency of these markets and to develop measures to address their inherent risks. Using VAR and Multivariate GARCH methodologies, an empirical method is used to study the impact that the use of interest rate derivatives can have on the dilution of the Mexican monetary policy channels

Keywords: Política Monetaria; Series de Tiempo; Modelos VAR; Modelos GARCH Multivariados (search for similar items in EconPapers)
JEL-codes: C32 C5 E44 E52 Y (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:201009

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