Resumo

ARRIAGA NAVARRETE, Rosalinda; SOSA CASTRO, Miriam  e  RODRIGUEZ NAVA, Abigail. Monetary Impacts on the Mexican Stock Market Returns: A Markov Switching Approach. Ens. Rev. econ. [online]. 2020, vol.39, n.2, pp.187-216.  Epub 12-Abr-2021. ISSN 2448-8402.  https://doi.org/10.29105/ensayos39.2-3.

Inflationary targets can be pressured by disturbances and strong volatilities in the financial and exchange markets. Therefore, the stock market and exchange rates are fundamental in the transmission of monetary policy, given the relationships they have with aggregate demand and prices. This paper analyzes the incidence of the key monetary variables in the activity of the Mexican Stock Exchange, during the period 2008-2019, through a model that incorporates structural breaks, and an Autoregressive Vector with Regime Change (MS-VAR). Estimates verify the influence of the monetary policy rate; risk premiums of government and corporate bonds; and the exchange rate in the stock market, identifying the differentiated response to high and low volatility scenarios.

Palavras-chave : Monetary Policy; Stock Market; MS-VAR; Financial Volatility.

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