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THE EFFECT OF EXCHANGE RATE AND MONETARY POLICY CHANGES ON STOCK RETURNS IN MEXICO AFTER THE TEQUILA CRISIS

Asok, Sidaarth LU and Rendon Castro, Eligio LU (2012) BUSN88 20121
Department of Business Administration
Abstract
Purpose:
To address any effect in Mexico´s stock returns due to changes in exchange rate and monetary policy after an economic shock (crisis).

Methodology:
We used a framework based on the Vector Auto-Regression approach. Additionally, the Difference-in-Difference regression approach was employed in order to briefly generalize our results.

Empirical foundation:
The empirical data employed comes from the historical financial information of the selected macroeconomic variables. This information was collected from Thomson-Reuters Data-stream database which was available at the Finance Society of Lund University.

Findings:
We found that the selected exchange rate and monetary policy variables significantly affected Mexico´s stock... (More)
Purpose:
To address any effect in Mexico´s stock returns due to changes in exchange rate and monetary policy after an economic shock (crisis).

Methodology:
We used a framework based on the Vector Auto-Regression approach. Additionally, the Difference-in-Difference regression approach was employed in order to briefly generalize our results.

Empirical foundation:
The empirical data employed comes from the historical financial information of the selected macroeconomic variables. This information was collected from Thomson-Reuters Data-stream database which was available at the Finance Society of Lund University.

Findings:
We found that the selected exchange rate and monetary policy variables significantly affected Mexico´s stock returns after the Tequila crisis. In addition we also confirmed the presence of a structural break-point in stock returns (which was our hypothesis). (Less)
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author
Asok, Sidaarth LU and Rendon Castro, Eligio LU
supervisor
organization
course
BUSN88 20121
year
type
H1 - Master's Degree (One Year)
subject
keywords
Mexico, Stock Returns, Fixed Exchange Rate Regime, Monetary Tightness, Vector Auto-Regression, Impulse Response, Variance Decomposition, Monetary Aggregates, Difference in Difference Approach
language
English
id
2968889
date added to LUP
2012-08-27 11:30:21
date last changed
2012-08-27 11:30:21
@misc{2968889,
  abstract     = {Purpose:
To address any effect in Mexico´s stock returns due to changes in exchange rate and monetary policy after an economic shock (crisis).

Methodology:
We used a framework based on the Vector Auto-Regression approach. Additionally, the Difference-in-Difference regression approach was employed in order to briefly generalize our results.

Empirical foundation:
The empirical data employed comes from the historical financial information of the selected macroeconomic variables. This information was collected from Thomson-Reuters Data-stream database which was available at the Finance Society of Lund University.

Findings:
We found that the selected exchange rate and monetary policy variables significantly affected Mexico´s stock returns after the Tequila crisis. In addition we also confirmed the presence of a structural break-point in stock returns (which was our hypothesis).},
  author       = {Asok, Sidaarth and Rendon Castro, Eligio},
  keyword      = {Mexico,Stock Returns,Fixed Exchange Rate Regime,Monetary Tightness,Vector Auto-Regression,Impulse Response,Variance Decomposition,Monetary Aggregates,Difference in Difference Approach},
  language     = {eng},
  note         = {Student Paper},
  title        = {THE EFFECT OF EXCHANGE RATE AND MONETARY POLICY CHANGES ON STOCK RETURNS IN MEXICO AFTER THE TEQUILA CRISIS},
  year         = {2012},
}