Resumo

CASTRO PEREZ, Judith Jazmín; CRUZ AKE, Salvador  e  DURAN SALDIVAR, Mario Alejandro. Long-term Relationship Between Monetary Policy, Exchange Rate and the Risk Premium in Mexico (2003-2018). Rev. mex. econ. finanz [online]. 2022, vol.17, n.2, e584.  Epub 28-Out-2022. ISSN 2448-6795.  https://doi.org/10.21919/remef.v17i2.584.

The objective of this research is to study the long-run relationships between monetary policy, the exchange rate, and the risk premium in the Mexican economy. Using the time series methodology, ARFIMA, and ARFIMAX models, with daily data from May 2003 to October 2018. The results suggest that the decisions are taken by the Central Bank through its transmission mechanism (interest rate) under a controlled inflation target, send signals to the economy that impact the exchange rate, acting as the transmission channel that alters the behavior of the risk premium of financial assets. The recommendation is to analyze the impact that other monetary policy mechanisms have on the risk premium, the limitation is that only the relationships specific to the target were analyzed, implying the lack of measurement of other economic effects. The originality is the analysis of long-run relationships in monetary policy using fractional models. In conclusion, the existence of the central bank paradox in the Mexican economy is recognized.

Palavras-chave : C32; E5; E52; E58; Monetary Policy; Risk Premium; Long Memory; time series models.

        · resumo em Espanhol     · texto em Espanhol     · Espanhol ( pdf )