Analysis of fiscal and monetary policy and its effect on Mexican stock market
The present research analyzes the relation between macroeconomic variables and their impact in stock prices in Mexico. This study uses the Arbitrage Pricing Theory (APT) to develop an econometric equation using nine macroeconomic variables, six of them belong to Mexico: exchange rate (Mexican peso t...
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| Main Authors: | , , |
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| Format: | Artículo de divulgación |
| Language: | spa |
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Universidad Autónoma de Ciudad Juárez
2021
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| Subjects: | |
| Online Access: | http://erevistas.uacj.mx/ojs/index.php/NovaRua/article/view/4537 |
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| Summary: | The present research analyzes the relation between macroeconomic variables and their impact in stock prices in Mexico. This study uses the Arbitrage Pricing Theory (APT) to develop an econometric equation using nine macroeconomic variables, six of them belong to Mexico: exchange rate (Mexican peso to US Dollar), public spending, inflation, global indicator of economic activity (IGAE), interest rate, exports; and three belonging to the United States: US gross domestic product (GDP) and interest rate, in addition to the S&P500 index. The representative periods of the model are monthly, from February 1993 to March 2020, except for the exchange rate, which is analyzed daily. |
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