Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/251282 
Year of Publication: 
2021
Series/Report no.: 
Working Papers No. 2021-11
Publisher: 
Banco de México, Ciudad de México
Abstract: 
Economic uncertainty is considered not only one of the main causes of recessions, but also a major obstacle to economic recovery. Recent studies find that significantly high levels of uncertainty could have a non-linear impact that amplifies the response of macroeconomic variables. The objective of this document is to analyze the presence of this impact on portfolio flows to Mexico. The results show that episodes of high uncertainty have a greater negative impact on bond and stock flows than those found under a linear VAR. Furthermore, it is observed that the effect is more persistent for bond flows. Finally, high uncertainty leads to a marked depreciation of the nominal exchange rate, a contraction in economic activity and a fall in the stock index.
Subjects: 
Foreign Portfolio Investment
Mexican Equity and Bond Market
Uncertainty
JEL: 
F32
F62
G10
Document Type: 
Working Paper
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