Arbeitspapier
The nonlinear effect of uncertainty in portfolio flows to Mexico
Economic uncertainty is considered not only one of the main causes of recessions, but also a major obstacle to economic recovery. Recent studies find that significantly high levels of uncertainty could have a non-linear impact that amplifies the response of macroeconomic variables. The objective of this document is to analyze the presence of this impact on portfolio flows to Mexico. The results show that episodes of high uncertainty have a greater negative impact on bond and stock flows than those found under a linear VAR. Furthermore, it is observed that the effect is more persistent for bond flows. Finally, high uncertainty leads to a marked depreciation of the nominal exchange rate, a contraction in economic activity and a fall in the stock index.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 2021-11
- Klassifikation
-
Wirtschaft
Current Account Adjustment; Short-term Capital Movements
Economic Impacts of Globalization: Macroeconomic Impacts
General Financial Markets: General (includes Measurement and Data)
- Thema
-
Foreign Portfolio Investment
Mexican Equity and Bond Market
Uncertainty
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hernández Vega, Marco
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hernández Vega, Marco
- Banco de México
Entstanden
- 2021
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