Working Papers

From Banco de México
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2009-06: An Alternative Formula to Price American Options

Rocio Elizondo, Padilla Pablo and Bladt Mogens

2009-05: Using Seasonal Models to Forecast Short-Run Inflation in Mexico

Carlos Capistrán, Constandse Christian and Manuel Ramos Francia

2009-04: The evolution of fuzzy multidimensional poverty in Mexico, 1994-2006

Eduardo Morales-Ramos

2009-03: The Factor-Spline-GARCH Model for High and Low Frequency Correlations

Jose Rangel and Robert Engle

2009-02: On the dynamics of inflation persistence around the world

Antonio Noriega and Manuel Ramos Francia

2009-01: Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts

Benavides Guillermo and Carlos Capistrán

2008-15: The Yield Curve and its Relation with Economic Activity: The Mexican Case

Reyna Cerecero Mario, Salazar Cavazos Diana and Salgado Banda Héctor

2008-14: Stylized Facts of the Mexican Business Cycles

Gabriel Cuadra

2008-13: Transparency and Numeric Rules in the Budgeting Process: Theory and Evidence

Amoroso Nicolás

2008-12: A Note on the Dynamics of Persistence in US Inflation

Antonio Noriega and Manuel Ramos Francia

2008-11: Experts' Macroeconomics Expectations: An Evaluation of Mexican Short-Run Forecasts

Carlos Capistrán and López Moctezuma Gabriel

2008-10: A Macroeconomic Model of the Term Structure of Interest Rates in Mexico

Cortés Espada Josué Fernando and Manuel Ramos Francia

2008-09: An Affine Model of the Term Structure of Interest Rates in Mexico

Cortés Espada Josué Fernando and Manuel Ramos Francia

2008-08: A Note on Mexico and U.S. Manufacturing Industries' Long-term Relationship

Daniel Chiquiar and Manuel Ramos Francia

2008-07: An Empirical Analysis of the Mexican Term Structure of Interest Rates

Cortés Espada Josué Fernando, Manuel Ramos Francia and Torres García Alberto

2008-06: Intersectoral Wage Differentials and the Change of the Composition of Urban Employment in Mexico during 2001-2004

Alcaraz Carlo, Daniel Chiquiar and Manuel Ramos Francia

2008-05: Accounting for Output Fluctuations in Mexico

Antón Sarabia Arturo

2008-04: International Evidence on Stochastic and Deterministic Monetary Neutrality

Antonio Noriega, Soria Luis M. and Velázquez Ramón

2008-03: An Analytical Approach to Merton's Rational Option Pricing Theory

Rocio Elizondo and Padilla Pablo

2008-02: Analysis of the Performance of Mexican Pension Funds: Evidence from a Stationary Bootstrap Application

Rodríguez Arnulfo, Zúñiga Gerardo and Rodríguez Pedro N.

2008-01: Determinants of Mexico's Comparative Advantages and of the Performance of its Manufacturing Exports during 1996-2005

Amoroso Nicolás, Daniel Chiquiar, Núria Quella and Manuel Ramos Francia

2007-15: The Impact of Trend Inflation in an Open Economy Model

Fernandez-Corugedo Emilio

2007-14: Optimality Tests for Multi-Horizon Forecasts

Carlos Capistrán

2007-13: Multipower Variation Under Market Microstructure Effects

Ysusi Carla

2007-12: Comparative Advantage and the Performance of Mexican Manufacturing Exports during 1996-2005

Daniel Chiquiar, Fragoso Edna and Manuel Ramos Francia

2007-11: Does Inflation Targeting Affect the Dispersion of Inflation Expectations?

Carlos Capistrán and Manuel Ramos Francia

2007-10: The Three Stages of Central Bank Autonomy in Mexico

Turrent y Díaz Eduardo

2007-09: Multifactor Productivity and its Determinants: An Empirical Analysis for Mexican Manufacturing

Salgado Banda Héctor and Bernal Verdugo Lorenzo E.

2007-08: Translog Cost Functions: An Application for Mexican Manufacturing

Salgado Banda Héctor and Bernal Verdugo Lorenzo E.

2007-07: Optimal Fiscal Policy in a Small Open Economy and the Structure of International Financial Markets

Cortés Espada Josué Fernando

2007-06: The Financial Accelerator from a Business Cycle Accounting Perspective

Antón Sarabia Arturo

2007-05: Uncertainty about the Persistence of Cost-Push Shocks and the Optimal Reaction of the Monetary Authority

Rodríguez Arnulfo, Fidel Gonzalez and González García Jesús R.

2007-04: Recursive Thick Modeling and the Choice of Monetary Policy in Mexico

Rodríguez Arnulfo and Rodríguez Pedro N.

2007-03: Fiscal Policy and Default Risk in Emerging Markets

Gabriel Cuadra and Horacio Sapriza

2007-02: Employment, Hours per Worker and the Business Cycle

Fernandez-Corugedo Emilio

2007-01: A Time Series Approach to Test a Change in Inflation Persistence: The Mexican Experience

Daniel Chiquiar, Antonio Noriega and Manuel Ramos Francia

2006-15: Inflation Dynamics in Mexico: A Characterization Using the New Phillips Curve

Manuel Ramos Francia and Torres García Alberto

2006-14: Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?

Carlos Capistrán

2006-13: Estimating Integrated Volatility Using Absolute High-Frequency Returns

Ysusi Carla

2006-12: Spurious Cointegration: The Engle-Granger Test in the Presence of Structural Breaks

Antonio Noriega and Daniel Ventosa-Santaulària

2006-11: Inflation Dynamics in Latin America

Manuel Ramos Francia and Carlos Capistrán

2006-10: Detecting Jumps in High-Frequency Financial Series Using Multipower Variation

Ysusi Carla

2006-09: Optimal Fiscal Policy in a Small Open Economy with Incomplete Markets and Interest Rate Shocks

Cortés Espada Josué Fernando

2006-08: Forecast Combination with Entry and Exit of Experts

Allan Timmermann and Carlos Capistrán

2006-07: Disagreement and Biases in Inflation Expectations

Allan Timmermann and Carlos Capistrán

2006-06: Structural Changes in the Transmission Mechanism of Monetary Policy in Mexico: A Non-linear VAR Approach

Gaytán González Alejandro and González García Jesús R.

2006-05: Spurious Regression and Econometric Trends

Antonio Noriega and Daniel Ventosa-Santaulària

2006-04: Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of Garch, Option Implied and Composite Forecast Models

Benavides Guillermo

2006-03: Changes in the Composition of Employment and Productivity in the Formal Sector of the Mexican Economy

Alcaraz Carlo and García Verdú Rodrigo

2006-02: Sovereign Default, Interest Rates and Political Uncertainty in Emerging Markets

Gabriel Cuadra and Horacio Sapriza

2006-01: Sovereign Default, Terms of Trade and Interest Rates in Emerging Markets

Gabriel Cuadra and Horacio Sapriza

2005-05: Factor Shares From Household Survey Data

García Verdú Rodrigo

2005-04: Competing or Colluding in a Stochastic Environment

Salgado Banda Héctor and Breccia Adriana

2005-03: Banks, Liquidity Crises and Economic Growth

Romain Ranciere and Gaytán González Alejandro

2005-02: Wealth Financial Intermediation and Growth

Romain Ranciere and Gaytán González Alejandro

2005-01: Reducing Inflation Through Inflation Targeting: The Mexican Experience

Manuel Ramos Francia and Torres García Alberto

2004-07: Analysis of Optimal Bids in the Primary Auction of Mexican Federal Government Bonds: Results of a Structural Econometric Modeling Approach

Sara Castellanos and Oviedo Marco

2004-06: Globalization, Regional Wage Differentials and the Stolper-Samuelson Theorem: Evidence from México

Daniel Chiquiar

2004-05: Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries

Daniel Chiquiar and Manuel Ramos Francia

2004-04: An Econometric Forecast Model of Private Investment in Mexico

Pérez López Elguézabal Alejandro

2004-03: Wage Rigidities in Mexico: Evidence from the Administrative Records of the Mexican Social Security Institute (Instituto Mexicano del Seguro Social)

Sara Castellanos, García Verdú Rodrigo and David Kaplan

2004-02: The Importance of Defining Property Rights in Free Trade Agreements on Foreign Direct Investment

Martínez Trigueros Lorenza and Romero Hidalgo Roberto

2004-01: Market Expectations Implicit in Derivative Prices: Applications to Exchange and Oil Markets

Díaz de León Carrillo Alejandro and Casanova Martha