THE EFFECT OF EXCHANGE RATE AND MONETARY POLICY CHANGES ON STOCK RETURNS IN MEXICO AFTER THE TEQUILA CRISIS
(2012) BUSN88 20121Department 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)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2968889
- author
- Asok, Sidaarth LU and Rendon Castro, Eligio LU
- supervisor
- organization
- course
- BUSN88 20121
- year
- 2012
- 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}}, 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}}, }