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El trimestre económico
versão On-line ISSN 2448-718Xversão impressa ISSN 0041-3011
Resumo
ARMENDARIZ, Thelma e RAMIREZ, Claudia. Estimation of a Financial Conditions Index for Mexico. El trimestre econ [online]. 2017, vol.84, n.336, pp.899-946. ISSN 2448-718X. https://doi.org/10.20430/ete.v84i336.610.
Background:
A tool that has been widely used to identify the state of financial conditions in a country are the financial conditions indexes. They synthesize information from different variables in a single indicator allowing to determine the general behavior of financial conditions in a timely and condensed manner.
Method:
We construct and analyze a Financial Conditions Index (FCI) for Mexico using the principal components methodology. Accordingly, we included 30 variables related to the behavior of the financial markets. We classified them into nine groups: short and long-term interest rates; foreign exchange, stock, derivative, and credit markets; risk premium; private debt; and inflation expectations.
Results:
The results show that this FCI adequately captures moments of astringency in financial markets in Mexico, such as the financial crisis of 2008-2009, the crisis in Europe in mid-2011, the beginning of the “tapering talk” in the United States in the second half of 2013, among others.
Conclusion:
The proposed FCI for Mexico works as a tool to supervise the evolution of the financial stress and to identify in which components of the financial markets there are signs of astringency.
Palavras-chave : Financial conditions index; principal components; Mexico.