Inquiry on the transmission of U.S. aggregate shocks to Mexico: A SVAR approach

摘要

We analyze the business cycle co-movement between Mexico and the US. We identify two shocks affecting US aggregate supply, three affecting its demand, and two types of monetary policy surprises with different financial implications. US shocks explain about 75% of expected output fluctuations in Mexico at a three-year horizon, with US demand shocks driving half of these variations alone. In turn, Mexican output responses to a monetary policy surprise in the US depend on the reaction of investors' sentiment to said surprise. Finally, for the sample period studied, financial-market interconnections are as important as goods-demand linkages for the international transmission of US shocks. (C) 2020 Elsevier Ltd. All rights reserved.