Resumen

ROMAN DE LA SANCHA, Luis Ignacio; HERNANDEZ ALVAREZ, Federico  y  RODRIGUEZ GARCIA, Gabriel. Co-movements between Stock Market Indices and Economic cycles: The case of US and Mexico. Rev. mex. econ. finanz [online]. 2019, vol.14, n.4, pp.693-714.  Epub 21-Feb-2020. ISSN 2448-6795.  https://doi.org/10.21919/remef.v14i4.352.

The aim of this paper is to identify the co-movements between the Dow Jones stock index (DJ) of the United States of America (US) and the Índice de Precios y Cotizaciones (IPC) of Mexico along with the economic cycles of both countries. A novel approach using concepts and models widely accepted in the study of economic cycles is developed to explain this relationship, in particular: trend, cycle, turning points, conformity and synchrony. Finding points show that trend of the DJ index and the mexican economy indicator (SICCA) present high conformity. On the other hand, the financial cycles of the DJ and IPC present an almost coincident synchrony. Some variables such as exchange rate, credit and political cycles that also influence economic cycles are not taken into account. The originality of this paper is the study of the relationship between financial cycles obtained from the main stock indexes and economic cycles. It is concluded that the cycles of the DJ and IPC anticipate economic cycles of both US and Mexico with at least four months.

Palabras llave : Economic Cycles; Financial Cycles; Co-movements; Hodrick & Prescott Filter; Bry & Boschan algorithm; E32; G10; C10; C63.

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