2017
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El Trimestre Económico
Thelma Armendáriz et al., « Estimación de un índice de condiciones financieras para México », El Trimestre Económico, ID : 10670/1.1yxb3s
"Background: A tool that has been widely used to identify the state of financial conditions in a country are the financial conditions indexes. They synthesize information from different variables in a single indicator allowing to determine the general behavior of financial conditions in a timely and condensed manner. Method: We construct and analyze a Financial Conditions Index (FCI) for Mexico using the principal components methodology. Accordingly, we included 30 variables related to the behavior of the financial markets. We classified them into nine groups: short and long-term interest rates; foreign exchange, stock, derivative, and credit markets; risk premium; private debt; and inflation expectations. Results: The results show that this FCI adequately captures moments of astringency in financial markets in Mexico, such as the financial crisis of 2008-2009, the crisis in Europe in mid-2011, the beginning of the “tapering talk” in the United States in the second half of 2013, among others. Conclusion: The proposed FCI for Mexico works as a tool to supervise the evolution of the financial stress and to identify in which components of the financial markets there are signs of astringency."