TY - JOUR
T1 - DEMANDA DE DINERO Y CAPTACIÓN BANCARIA EN MÉXICO
AU - Romero, Ramón Valencia
AU - Moya, Jorge Andrés González
AU - Bolívar, Humberto Ríos
N1 - Publisher Copyright:
© 2020 Universidad Nacional Autónoma de México, Facultad de Economía. Este es un artículo Open Access bajo la licencia CCBY-NC-ND (http://creativecommons.org/licenses/by-nc-nd/4.0/).
PY - 2020
Y1 - 2020
N2 - Considering that the variables economic activity and opportunity cost of holding money affect money demand (M1), their effect on deposits at the Mexican banking system is analyzed for the period 2006-2018. For the first time ever, M1 is introduced as a determinant of bank deposits. A Vector Autoregressive Model is used to assess cointegration. Error Correction Models were used. We concluded that bank deposits were not determined by the variable economic activity (igae), the rate of inflation nor the bank funding rate, but by some opportunity cost variables. The role of M1 stands out as a determinant of bank deposits. Finally, a stable behavior of bank deposits is obtained. Stability is analyzed using a Regime Switching-Model, two regimes are identified, high and low volatility, the latter predominates.
AB - Considering that the variables economic activity and opportunity cost of holding money affect money demand (M1), their effect on deposits at the Mexican banking system is analyzed for the period 2006-2018. For the first time ever, M1 is introduced as a determinant of bank deposits. A Vector Autoregressive Model is used to assess cointegration. Error Correction Models were used. We concluded that bank deposits were not determined by the variable economic activity (igae), the rate of inflation nor the bank funding rate, but by some opportunity cost variables. The role of M1 stands out as a determinant of bank deposits. Finally, a stable behavior of bank deposits is obtained. Stability is analyzed using a Regime Switching-Model, two regimes are identified, high and low volatility, the latter predominates.
KW - Bank deposits
KW - Cointegration
KW - Error correction model
KW - Money demand
KW - Regime switching model
UR - http://www.scopus.com/inward/record.url?scp=85121521827&partnerID=8YFLogxK
U2 - 10.22201/FE.01851667P.2020.314.76617
DO - 10.22201/FE.01851667P.2020.314.76617
M3 - Artículo
AN - SCOPUS:85121521827
SN - 0185-1667
VL - 79
SP - 75
EP - 105
JO - Investigacion Economica
JF - Investigacion Economica
IS - 314
ER -