Monetary Policy Announcements and Interest Rates Volatility: Evidence from the Mexican TIIE Futures Market

Gurrola-Perez, Pedro; Herrerias, Renata

doi:10.2139/ssrn.1339835

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Monetary Policy Announcements and Interest Rates Volatility: Evidence from the Mexican TIIE Futures Market

27 Pages Posted: 9 Feb 2009

See all articles by Pedro Gurrola-Perez

Renata Herrerias

Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration

Date Written: February 9, 2009

Abstract

This study contributes to the debate about the effectiveness of monetary policy transmission mechanisms by exploring the link between the Mexican Central Bank's monetary policy announcements and interest rates futures volatility. The results show that announcements have a positive and significant impact on futures volatility and that this impact is mostly produced when a restrictive monetary policy stance is announced. Moreover, it shows that the change to an interest rate operational target has increased the non-anticipated component in monetary policy signalling.

Keywords: interest rates futures, monetary policy, TIIE futures

JEL Classification: E58, E52, G13

Suggested Citation: Suggested Citation

Gurrola Perez, Pedro and Herrerias, Renata, Monetary Policy Announcements and Interest Rates Volatility: Evidence from the Mexican TIIE Futures Market (February 9, 2009). Available at SSRN: https://ssrn.com/abstract=1339835 or http://dx.doi.org/10.2139/ssrn.1339835