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Books and Analytical Papers > IMF Staff Country Reports

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Cover IMF Staff Country Reports
Mexico: Selected Issues
International Monetary Fund. Western Hemisphere Dept.
This Selected Issues paper analyzes transmission of monetary policy rates to lending and deposit rates in Mexico. The results show that transmission of the policy rate to market rates is statistically significant in all cases, except for mortgage rates. For sight deposits, pass-through is low, with a 1 percentage point increase in the policy rate leading to a 0.2 percentage point rise in the deposit rate. For term deposits the pass-through is stronger, but remains below unity at 0.7. The pass-through to both lending and deposit rates is very rapid. The dynamic specifications show that pass-through is significant in either the current or the following month, and the long-term impact is achieved during the second month.
Keywords:
ISCR; CR; strike price; monetary policy; mortgage rate; price differential; open economy; core inflation; term deposit rate; oil-price process; price bond; oil price persistence; target rate; headline inflation; oil-price shock; differenced interest rates; oil-price volatility; Central bank policy rate; Oil prices; Deposit rates; Hedging; Options; Global; Phillips curve
Cover IMF Staff Country Reports
United States: Publication of Financial Sector Assessment Program Documentation: Technical Note on Stress Testing
International Monetary Fund
The stress testing analysis in the United States was based on publicly available information and on models that are subject to a considerable degree of uncertainty. The stress tests illustrate important vulnerabilities in the banking sector. It highlights the importance of macrofinancial linkages, and dependencies among the largest institutions. The results illustrate the high sensitivity of Bank Holding Company’s asset quality and capital positions. Market liquidity risks appear to have declined, although financial firms remain vulnerable to funding rollover risk. The life insurance sector is relatively resilient.
Keywords:
ISCR; CR; financial institution; financial market; put option; retained earnings; contingent liabilities; time horizon; capital ratio; present value; Contingent liabilities; Systemic risk; Stress testing; Loans; Credit default swap; Global; BHC capital; contingent claims analysis stress test; BHC asset composition; return on assets; stress test scenario; Options
Cover IMF Staff Country Reports
Mexico: Financial Sector Assessment Program Update: Technical Note: Derivatives Market: Overview and Potential Vulnerabilities
International Monetary Fund
This technical note provides an overview of Mexico’s derivatives markets, and describes concisely the derivatives regulatory framework and risk management practices in financial institutions active in these markets. The most important derivatives market in Mexico is the over-the-counter (OTC) derivatives market, which is fully integrated with the global derivatives market. The origin of the OTC derivatives market can be traced back to the 1994 Mexican crisis that forced Mexico to abandon its fixed exchange rate regime.
Keywords:
ISCR; CR; derivatives market; market participant; interest rate options market; derivatives contract; Mexican peso; derivatives dealer; U.S. dollar; exchange-traded derivative; repo market; interest rate derivative; Mexican OTC derivatives market; derivatives transaction; swap market; TIIE swap market; Derivative markets; Options; Over-the-counter markets; Futures; Pension spending; Global