Resumen
We analyze the impact of the local and U.S. interest rate structure, the spread of short medium, and long-term interest rate differentials between Mexico and the U.S., and the uncertainty of the U.S. Monetary Policy (MPU) on the general Mexican Stock Market Index (IPC35), the ESG Mexican Stock Market Index (IPC-ESG), and the MXN/USD exchange rate, from April 2014 to April 2023. The Structural Vector Autoregressive (SVAR) models are proposed. Findings reveal that the exchange rate is the market with the lower level of response to Monetary shocks. Additionally, the evidence shows that the stock market (IPC35) absorbed faster the monetary policy changes (three months), while the currency market takes four months to reflect that information, and the Sustainable IPC (ESG) takes six months to respond to changes in monetary policy. The impulse response analysis reveals that the local and foreign yield curve, the 5-year, and 10-year spread and the MPU index are the main factors to which the currency and the stock market respond.
Esta obra está bajo una licencia internacional Creative Commons Atribución 4.0.
Derechos de autor 2025 Contaduría y Administración