English, Article, Journal or magazine article edition: Structural Changes in the Transmission Mechanism of Monetary Policy in Mexico: A Non-linear VAR Approach Alejandro Gaytán González; Jesús R. González García

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Bookmark: http://trove.nla.gov.au/version/47661
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Structural Changes in the Transmission Mechanism of Monetary Policy in Mexico: A Non-linear VAR Approach
Author
  • Alejandro Gaytán González
  • Jesús R. González García
Physical Description
  • preprint
Notes
  • In this paper we present a first approach to the study of the transformation in the transmission mechanism of monetary policy that has taken place in Mexico in recent years. For this purpose, we use a non-linear VAR model that allows for regime shifts. The comparison of the different regimes identified leads to the following main findings: a) there was a major structural change in the transmission mechanism around January 2001, date that coincides with the formal adoption of the inflation targeting framework; b) after this change, fluctuations in the real exchange rate have had smaller effects on the process of price formation, the formation of inflation expectations and the nominal interest rate; c) also, there have been stronger reactions of the nominal interest rate to increases in the output gap and the rate of inflation; and d) the movements of the nominal interest rate have a more effective influence on the real exchange rate and the rate of inflation.
  • Monetary policy, Mexico, Monetary transmission mechanism
  • RePEc:bdm:wpaper:2006-06
Language
  • English
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