MONETARY POLICY IN MEXICO. SVAR ANALYSIS WITH EXCLUSION RESTRICTIONS

Main Article Content

Jesús Eduardo López Mares
Juan Manuel Ocegueda Hernández

Abstract

This study evaluates the effects of monetary policy in Mexico during the period 2001-2020 using a Structural Vector Autoregressive (SVAR) approach with exclusion restrictions in the contemporaneous effects matrix. The study contributes to the existing literature in the country by comparing the results of models with both recursive and non-recursive identifications, with an emphasis on recovering the systematic component of the Central Bank. It was found that non-recursive models that incorporate inflation expectations or the exchange rate into the original Taylor type rule eliminate the price puzzle. However, only identifications allowing for a bidirectional reaction between the exchange rate and interest rate avoid the exchange rate puzzle. Finally, recursive identifications produce inconsistent results with canonical neo-Keynesian models.

Article Details

How to Cite
López Mares, J. E., & Ocegueda Hernández, J. M. (2024). MONETARY POLICY IN MEXICO. SVAR ANALYSIS WITH EXCLUSION RESTRICTIONS. Investigación Económica, 83(329), 26–53. https://doi.org/10.22201/fe.01851667p.2024.329.86886

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