سیاست های پولی و نرخ بهره: شواهدی از مکزیک

Using the recent experience of Mexico under a flexible exchange-rate regime and under an inflation-targeting framework, this paper examines the extent to which monetary policy has performed the role of nominal anchor for the Mexican economy. The paper identifies a set of variables together with a monetary policy rule, which offer a good approximation to the process through which interest rates are determined. The evidence suggests that recent monetary policy in Mexico has been consistent with inflation-targeting principles and has become the nominal anchor for the economy.

This paper analyzes the process through which interest rates are determined in Mexico. The purpose is to formally test whether under the current flexible exchange-rate regime and inflation-targeting framework, monetary policy has served as nominal anchor for the economy. Using the framework of monetary policy rules, this paper analyzes the process through which interest rates are determined in the Mexican economy. The analysis identifies a set of variables that, combined with a monetary policy rule, offer a good approximation to the process through which interest rates are determined. One of the key differences between a regime in which the exchange rate is fixed and one in which it floats, is the role of monetary policy in the economy. In the first case, monetary policy is constrained by the exchange rate and its role is to support that rate. The authorities are responsible for price stability, and it is said that the exchange rate serves as the nominal anchor of the economy. Under a floating exchange-rate regime, on the other hand, monetary policy is not constrained by any rule and the monetary authorities are responsible for setting monetary policy in order to achieve price stability. In this case, monetary policy plays an important role in providing the nominal anchor of the economy. At the end of 1994, Mexico abandoned the fixed exchange-rate regime and adopted a flexible rate. The transition was anything but smooth, since the Mexican economy experienced a major financial crisis throughout 1995. As expected, the crisis impaired the credibility of Mexican financial and monetary institutions and thus made it more difficult for the Bank of Mexico to establish monetary policy as the nominal anchor of the economy. Over the years, however, monetary policy has evolved toward an inflation-targeting framework, allowing financial stability to be enhanced and inflation to be reduced. The recent Mexican experience is instructive for two reasons. First, it represents an emerging market economy under a flexible exchange-rate regime that has been able to reduce inflation from two-digit to one-digit levels. Therefore, if it can be shown that monetary policy has contributed to inflation reduction, then Mexico’s experience suggests that fixed-rate regimes, with endogenous monetary policy, are not necessarily the only choice for emerging market economies faced with high inflation. It suggests that an independent monetary policy can help reduce inflation. Second, in recent years, the instrumentation of monetary policy in Mexico has experienced major changes. After the 1995 crisis, instrumentation was focused primarily on intermediate targets such as domestic credit ceilings and a buildup of international reserves. Then, as economic conditions stabilized, instrumentation gradually shifted towards inflation-targeting principles. This process culminated in 2001, when the Bank of Mexico officially adopted a fully-fledged inflation-targeting framework. Thus, if monetary policy has effectively contributed to lower inflation, then this suggests that inflation-targeting in emerging market economies is a useful mechanism for imposing discipline on monetary policy and ensuring that it performs the role of nominal anchor of the economy. The rest of the paper is organized in four sections. Section 2 reviews the literature on monetary policy rules and shows that under a flexible exchange-rate regime this framework is useful in analyzing the role of monetary policy as the nominal anchor of the economy. Section 3 specifies a baseline monetary policy rule and describes the estimation procedure. Results from the baseline exercise are presented in this section and are used to motivate the exercises in the following section. Section 4 specifies and estimates alternative monetary policy rules and tests the role of several variables in the process through which interest rates have been determined in Mexico. Section 5 concludes.

This paper analyzes the process through which interest rates are determined in the Mexican economy. It focuses on two fundamental issues of monetary policy. The first seeks to ascertain whether in the transition towards an inflation-targeting framework, monetary policy has become the nominal anchor of the Mexican economy? The second asks whether the instrumentation of monetary policy has been in line with inflation-targeting principles? While analyzing these two issues, we identify a set of variables that, when combined within a monetary policy rule, provide a good approximation to the process through which interest rates are determined. The evidence presented shows that in recent years monetary policy in Mexico, through its effect on interest rates, has performed the role of nominal anchor of the economy. Furthermore, results suggest that monetary policy has been consistent with inflation-targeting principles. This implies a central bank that immediately fights inflationary pressures stemming from the demand side and that lets cost-push shocks have a once-and-for-all effect on the price level. Interest rates in Mexico appear to be determined more in a forward- than in a backward-looking manner, with interest rates responding to expected inflation rather than lagged inflation. Since the forward-looking component of monetary policy is a key element of an inflation-targeting framework, this result is consistent with the fact that the Bank of Mexico has formally adopted an inflation-targeting framework. The best approximation to the process through which interest rates are determined is an augmented monetary policy rule that includes the expected inflation deviation from its target, the expected output gap, the country-risk perception and the difference between long- and short-run domestic interest rates. The first two elements help reflect the relationship between interest rates and the fundamental performance of the economy. The third and fourth elements, respectively, capture the effect of uncertainty generated by international and domestic events on interest rates in Mexico. The evidence suggests that monetary policy in Mexico has contributed to inflation reduction in recent years. This means that fixed exchange-rate regimes, with endogenous monetary policy, are not the only option for a small open economy and in particular for emerging markets with high inflation. Independent monetary policy can be of help in reducing inflation, particularly if inflation-targeting frameworks serve to impose limits on the discretion of monetary policy. This means that even in the case of emerging-market economies under flexible exchange-rate regimes, monetary policy can become the nominal anchor of the economy.