Tasa de política monetaria en México ante los efectos de Covid-19

Abstract

<jats:p>La crisis económica alimentada por el Covid-19 ha producido choques de oferta y demanda que afectan al producto potencial y a las preferencias de los consumidores, impacto que sugiere que la tasa real neutral de interés se modificó y, por ende, la tasa real de interés debe ajustarse para no generar una contracción económica más profunda en México. Estimamos el valor de la tasa neutral utilizando el método de Laubach y Williams, basado en el filtro de Kalman, y confirmamos los resultados con un modelo cointegrado de vectores autorregresivos (CVAR). Los resultados muestran que la tasa real neutral, teóricamente congruente con el pleno empleo y la meta de inflación, se reduce hasta 0.1% y la nominal hasta 3.1%, lo que sugiere la existencia de suficiente espacio para una política monetaria expansiva que permita enfrentar la crisis e impulsar la actividad económica durante al menos tres años.</jats:p>

Default Probabilities and the Credit Spread of Mexican Companies: The Modified Merton Model

“…Eom et al [30] tested and compared five models that are conventionally used to price bonds and corporate firms, namely, those by Merton [1], Geske [31], Longstaff and Schwartz [32], Leland and Toft [33], and Collin-Dufresne and Goldstein [34]. The authors showed that using stochastic interest rates in the models did not significantly affect their valuations' accuracies.…”

“…Similarly, we examined a simple case of corporate debt pricing, i.e., a single class of debt and residual claim equity. We suppose in the same way as [13] that the indenture of the bond issue contains the following provisions and restrictions: (1) The firm promises to pay a total of F (face value antes previously denoted as B) to the bondholders on a specific calendar date T. (2) In the event this payment is not met, the bondholders immediately take over the company (and the shareholders receive nothing). (3) The firm can not issue any new senior (or of equivalent rank) claims on the firm nor can it pay cash dividends or do share repurchase before the maturity of the debt.…”

“…Clearly at time T, the firm will pay the bondholders if V(T) − F > 0 and the equity value will be the difference; otherwise, the shareholders receive nothing. So, the final condition is E(V, 0) = Max (0, V − B), As mentioned by [1], there is an isomorphic price relationship between levered equity of the firm and call option, and we can solve the equation as Black and Scholes [42] did, but including the parameter and variable changes: V = V α α . The solution to the modified differential equation is shown in Equations ( 40)- (42) and Equations ( 43) and (44) show the solution to parameters d 1 and d 2 , with the change of variable:…”

“…The Bank of Mexico's position after the economic contraction generated by the health measures to tackle the COVID-19 pandemic to encourage consumption and investment would be to lower its monetary policy to complement the liquidity implemented in the financial system to stimulate the economy through the credit channel. To do so, it is necessary to know how much the Bank of Mexico could reduce this rate without negatively affecting inflationary dynamics (Sánchez and Lopez-Herrera [1]).…”

“…Sánchez and López-Herrera [1] stated that the COVID-19 effect added to the economic contraction that had been occurring in Mexico. They pointed out that the nominal interest rate went from 8.3% during the first quarter of 2019 to 7.4% in 2020.…”