Resumen

LOPEZ MARES, Jesús Eduardo  y  OCEGUEDA HERNANDEZ, Juan Manuel. Monetary policy in Mexico. SVAR analysis with exclusion restrictions. Inv. Econ [online]. 2024, vol.83, n.329, pp.26-53.  Epub 01-Ago-2025. ISSN 0185-1667.  https://doi.org/10.22201/fe.01851667p.2024.329.86886.

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.

Palabras llave : Monetary policy; SVAR; policy rules; C32; E58; F41.

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