Política monetaria y tasas de interés: experiencia reciente para el caso de México

Alejandro Díaz de León () and Laura Greenham ()
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Alejandro Díaz de León: Dirección de Análisis Macroeconómicos. Banco de México. México, D.F. Mexico
Laura Greenham: Dirección de Análisis Macroeconómicos. Banco de México. México, D.F. Mexico

Economía Mexicana NUEVA ÉPOCA, 2001, vol. X, issue 2, 213-258

Abstract: The purpose of this study is to examine the effectiveness of monetary policy actions in affecting the interest rate term structure. As a first approach, variations of the interest rate term structure in dates following a change in monetary policy stance are presented for the years 1998, 1999 and the first four months of 2000. Nevertheless, such variations in interest rates cannot be attributed solely to monetary policy decisions. This occurs since interest rates respond to various factors and events. Thus, it is important to decompose the effect of a change in monetary policy in two, a “reaction” (feedback) and an “active” (exogenous) component. Furthermore, the aim of this study is to analyze whether the increase in interest rates following a monetary restriction is due exclusively to changes in monetary policy (“active” monetary policy) or to events previously discounted by markets (“reaction” monetary policy). Using a vector autoregression technique, evidence is presented to support the fact that Mexican monetary policy has had an “active” component in the last years.

Keywords: monetary policy; interest rate term structure; “short”; vector autoregression; impulse-response function (search for similar items in EconPapers)
Date: 2001
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