Reyna Susana García Ruiz

Mecanismos de transmisión de las condiciones macroeconómicas al mercado crediticio

In this paper, we provide empirical evidence on the existence of the Kitchin and Juglar cycles in Mexico during the years 2000 through 2015 by a combination of econometric (Toda-Yamamoto causality and cointegration) and phenomenological (frequency synchronization) techniques. The paper provides empirical evidence on short-term cycles of 3.5 years that are driven by the exchange rate and 11-year long cycles driven by gross capital formation and delinquency. Also, the sequence of short and long-term economic cycles for a combination of real (industrial activity, private consumption, gross capital formation, business and gross domestic product), monetary (exchange rate, interbank interest rate, and inflation) and banking (delinquency, current and past due credits) variables.

Una medida de eficiencia de mercado. Un enfoque de teoría de la información

In this paper, based on the concept of Shannon entropy, we propose a measure of market efficiency by using the empirical density function of returns. Under certain conditions of ergodicity and stationarity, it is shown that the sample entropy converges to the entropy of the dominant state. It is also shown that the proposed measure is consistent with some of the axioms from Artzner et al. (1999) of a coherent risk measure. Bounds on the behavior of entropy as a measure of efficiency on the basis of extreme cases are also established; going from deterministic processes to pure white noise stochastic processes. Finally, for illustrative purposes, we carry out several applications of the proposed efficiency measure of capital to different markets: DJIA, S&P500, FTSE100 and IPC.