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Efecto Pass-Through en México en condiciones de alta y baja volatilidad

Author

Listed:
  • Jorge Ignacio Rodríguez Carranza

    (El Colegio de la Frontera Norte)

  • Leticia Hernández Bielma

    (El Colegio de la Frontera Norte)

  • Belem Iliana Vásquez Galán

    (El Colegio de la Frontera Norte)

Abstract

El objetivo de este trabajo es medir el efecto Pass-Through en condiciones de alta y baja volatilidad cambiaria del peso-dólar sobre los precios de la Cadena Distributiva de Bienes en México. Se estimaron dos vectores autorregresivos con corrección de error y funciones de impulso-respuesta con datos mensuales de 2000 a 2017. Los resultados de las elasticidades de traspaso acumuladas indican qué, el Pass-Through genera un mayor cambio porcentual en los precios del productor, consumidor e importador en condiciones de alta volatilidad. Esto implica que el Banco de México podría instrumentar algunas medidas atenuantes a través de la política monetaria y cambiaria. Falta profundizar en las diferencias en velocidad y magnitud de traspaso a la CDB, lo que implica analizar la influencia de condiciones estructurales. Este trabajo destaca que el impacto en el traspaso del tipo de cambio ha sido substancialmente mayor para los precios al productor, quienes en un segundo orden lo traspasan a los precios del consumidor. Se puede concluir que el grado de volatilidad tiene un papel prominente sobre el nivel de traspaso.

Suggested Citation

  • Jorge Ignacio Rodríguez Carranza & Leticia Hernández Bielma & Belem Iliana Vásquez Galán, 2020. "Efecto Pass-Through en México en condiciones de alta y baja volatilidad," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 15(1), pages 57-80, Enero - M.
    • Handle: RePEc:imx:journl:v:15:y:2020:i:1:p:57-80
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    More about this item

    Keywords

    Tipo de cambio; Precios; Pass-Through; Volatilidad;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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