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Impacto de la política fiscal y la política monetaria en el valor de capitalización bursátil de las empresas: Un enfoque de datos panel autorregresivo (PVAR) para el caso de México

No. 96 (2024-02-29)

Resumen

En la actualidad existe una gran diversidad de estudios de la relación existente entre la política monetaria y el mercado bursátil; sin embargo, pocos evalúan la incidencia del manejo fiscal en este mercado. Este documento examina en qué medida la política fiscal puede afectar a la capitalización bursátil de la empresa. Utilizando la metodología panel de vectores autorregresivos (PVAR), se encuentra que la capitalización bursátil en el IPC refleja completamente la información disponible sobre los movimientos de las variables relacionadas con la política monetaria; no obstante, el endeudamiento público total ejerce un efecto rezagado y significativo sobre la capitalización bursátil de las empresas mexicanas. Este hallazgo indica que el IPC no refleja completamente la información disponible sobre los movimientos de las variables de política fiscal. Un análisis exhaustivo de las medidas de política fiscal por parte de los inversionistas y los analistas financieros puede incrementar el rendimiento de los mercados bursátiles.

Palabras clave: endeudamiento público, incertidumbre de la política económica, mercado bursátil, hipótesis de mercado eficiente, México

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