An Analysis of Monetary Policy in Mexico and Its Effects on Real Variables, 1995–2011: A VAR Model in a Brownian Environment
DOI:
https://doi.org/10.29201/peipn.v8i16.282Keywords:
monetary policy, VAR, current account balances, overnight interbank rateAbstract
This research is intended to show that the Mexican Central Bank's monetary policy, as seen through the current account balances with the banks until 2008 and thereafter the overnight interbank rate target of one day term, impact in real variables, particularly in the GDP. To be able to do this, we use the technique of Vector Autoregressive (VAR) and Granger causality test under the assumption that the relevant variables are modeled with Monte Carlo simulation in a Brownian environment. Finally an analysis impulse-response functions to see the persistence and magnitude of exogenous shocks is carried out.
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