Vol. 16 Núm. 32 (2020)

Artículos

Efectos asimétricos en la relación de los precios bursátiles con el tipo de cambio, los precios mundiales del petróleo y la tasa de interés ante la pandemia de Covid-19

Publicado 28-10-2020 — Actualizado el 28-10-2020

  • Francisco López-Herrera
    • ,
  • Domingo Rodríguez-Benavides

Francisco López-Herrera
División de Investigación, Facultad de Contaduría y Administración, UNAM

Domingo Rodríguez-Benavides
Departamento de Sistemas, División de Ciencias Básicas e Ingeniería, UAM

Resumen

En este artículo se analiza cómo ha sido la influencia del tipo de cambio, los precios mundiales del petróleo y la tasa de interés interbancaria de equilibrio (TIIE) a un día sobre el Índice de Precios y Cotizaciones (IPC) de la Bolsa Mexicana de Valores durante el brote de Covid-19, el periodo de confinamiento y el inicio del regreso a la nueva normalidad en México. Mediante un modelo ARDL no lineal (NARDL) se consideran los efectos asimétricos de esas variables sobre el indicador bursátil de diciembre del año pasado al primer semestre de 2020, encontrando que, al menos para el periodo bajo estudio, para explicar el comportamiento bursátil es pertinente considerar efectos diferenciados (asimétricos) en los efectos de las variables enunciadas.

Palabras clave

Mercado accionario, tipo de cambio, precio del petróleo, tasa de interés, modelo NARDL

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