Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/251291 
Year of Publication: 
2021
Series/Report no.: 
Working Papers No. 2021-20
Publisher: 
Banco de México, Ciudad de México
Abstract: 
We investigate the relationship between financial market frictions and economic activity in Mexico by constructing and decomposing a credit spread index from bonds issued by non-financial corporations in domestic markets, following Gilchrist and Zakrajsek (2012). We show that the credit spread is significantly informative about the evolution of economic activity and financial aggregates in Mexico. Moreover, the excess bond premium (EBP), which tracks the relationship between firms' default risk and their credit spread, is found to be the main driver of this relationship. We show evidence that negative shocks on financial conditions, identified as a sudden increase of EBP, prompt a contraction in economic activity and credit aggregates. Finally, we find evidence of non-linear effects on the responses of economic activity in response to the shock.
Subjects: 
Credit spread
economic activity
credit aggregates
JEL: 
E32
E44
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.