Monetary impacts on mexican stock market index, ESG stock market index and exchange rate; Structural vector autorregressive approach

• Autores: Magnolia Miriam Sosa, Alejandra Cabello, Edgar Ortiz
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 71, Nº. 1, 2026, págs. 1-26
• Idioma: español
• Títulos paralelos:
  • mpactos monetarios en el índice bursátil mexicano, el índice bursátil ESG y el tipo de cambio;enfoque de vectores autorregresivos estructurales
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    Este estudio analiza el impacto de la estructura de tasas de interés locales y de Estados Unidos, los diferenciales de tasas a corto, mediano y largo plazo entre México y EE. UU., así como la incertidumbre de la política monetaria estadounidense (MPU) en el Índice de Precios y Cotizaciones de la Bolsa Mexicana (IPC35), el Índice de Mercado Sostenible (IPC-ESG) y el tipo de cambio MXN/USD, desde abril de 2014 hasta abril de 2023. Para ello, se emplean modelos de Vectores Autorregresivos Estructurales (SVAR).Los resultados indican que el tipo de cambio es el mercado que menos reacciona ante shocks monetarios. Además, se observa que el mercado accionario (IPC35) absorbe más rápido los cambios en la política monetaria (tres meses), mientras que el mercado cambiario tarda cuatro meses en reflejar dicha información, y el IPC sostenible (ESG) tarda seis meses en responder a estos ajustes. El análisis de funciones de impulso-respuesta revela que la curva de rendimientos local y extranjera, los diferenciales a 5 y 10 años, así como el índice MPU, son los principales factores que influyen en las respuestas del mercado cambiario y bursátil

  • English

    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

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