Vol. 20 No. 42 (2025)

Artículos

Monetary Policy Transmission in Mexico: A SVAR Approach in the Absence of Cointegration (2001-2023)

Published 2025-07-28

  • Christopher Cernichiaro Reyna
    • ,
  • Manuel Gómez Zaldivar
    • ,
  • Edson Valdés Iglesias

Christopher Cernichiaro Reyna
Universidad Autónoma Metropolitana, Unidad Xochimilco, Departamento de producción económica, Área de Macroeconomía dinámica y cambio estructural

Manuel Gómez Zaldivar
University of Guanajuato image/svg+xml

Edson Valdés Iglesias
University of Veracruz image/svg+xml

Abstract

The objective of this research is to analyze the transmission mechanisms of monetary policy in Mexico through the estimation of VAR and SVAR mo- dels, with the aim of evaluating the dynamic relationship between nominal interest rates, inflation, gross domestic product, and the real exchange rate during the period from January 2001 to December 2023. Johansen’s cointe- gration test did not find evidence of a stable long-run relationship among the variables, which led to the exclusion of the VECM specification. This instability may be partly explained by the persistent effects of extraordinary shocks that occurred between 2020 and 2023, including the COVID-19 pan- demic, and other external and domestic disturbances that significantly alte- red macroeconomic dynamics. The results indicate that Mexican monetary policy not only seeks to preserve the purchasing power of the peso but also aims to stabilize economic activity, although aggregate demand shows limi- ted sensitivity to changes in nominal interest rates. Moreover, the findings reveal that higher economic activity tends to generate inflationary pressures.

Keywords

monetary policy, SVAR, transmission channel

PDF (Spanish)

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