EconPapers    
Economics at your fingertips  
 

Inquiry on the transmission of U.S. aggregate shocks to Mexico: A SVAR approach

Julio Carrillo (), Rocio Elizondo and Luis G. Hernández-Román

Journal of International Money and Finance, 2020, vol. 104, issue C

Abstract: We analyze the business cycle co-movement between Mexico and the US. We identify two shocks affecting US aggregate supply, three affecting its demand, and two types of monetary policy surprises with different financial implications. US shocks explain about 75% of expected output fluctuations in Mexico at a three-year horizon, with US demand shocks driving half of these variations alone. In turn, Mexican output responses to a monetary policy surprise in the US depend on the reaction of investors’ sentiment to said surprise. Finally, for the sample period studied, financial-market interconnections are as important as goods-demand linkages for the international transmission of US shocks.

Keywords: SVAR Model; Small Open Economy; International Propagation of Macro Shocks (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S026156061930018X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Inquiry on the Transmission of U.S. Aggregate Shocks to Mexico: A SVAR Approach (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:104:y:2020:i:c:s026156061930018x

DOI: 10.1016/j.jimonfin.2020.102148

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-10-01
Handle: RePEc:eee:jimfin:v:104:y:2020:i:c:s026156061930018x