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Guerrero V.M.,Autonomus Institute of Technology of Mexico | Silva E.,Northern University of Mexico | Gomez N.,Banco de Mexico
Journal of Forecasting | Year: 2014

We consider a forecasting problem that arises when an intervention is expected to occur on an economic system during the forecast horizon. The time series model employed is seen as a statistical device that serves to capture the empirical regularities of the observed data on the variables of the system without relying on a particular theoretical structure. Either the deterministic or the stochastic structure of a vector autoregressive error correction model of the system is assumed to be affected by the intervention. The information about the intervention effect is just provided by some linear restrictions imposed on the future values of the variables involved. Formulas for restricted forecasts with intervention effects and their mean squared errors are derived as a particular case of Catlin's static updating theorem. An empirical illustration uses Mexican macroeconomic data on five variables and the restricted forecasts consider targets for years 2011-2014. © 2013 John Wiley & Sons, Ltd.


Coronado-Garcia L.C.,Escuela Superior de Fisica y Matematicas | Perez-Leguizamo C.,Banco de Mexico
International Journal of Critical Computer-Based Systems | Year: 2011

A public key infrastructure (PKI) is a set of elements and procedures needed to manage digital certificates. A PKI must guarantee the reliability of its services, assuring the timeliness of its responses and the continuity of the service despite of the growth in the number of users and the presence of hardware or software failures. Avoiding duplication of public keys due to intentional or involuntary errors is mandatory in a PKI; hence, the verification of public keys uniqueness is a fundamental task. In this paper, we propose a model of a PKI deploying uniqueness verification based on autonomous decentralised systems (ADS) concepts, namely online expandability, online maintenance and fault tolerance. There are two main contributions of this paper; application of ADS concept in a PKI model and a software implementation of ADS architecture. © 2011 Inderscience Enterprises Ltd.


Lim J.,Institute Finanzas Of Corea | Rodriguez-Zamora C.,Banco de Mexico
Trimestre Economico | Year: 2015

We study the implications for the optimal taxation problem when allowing the possibility of substitution between market goods and time. We find that the higher the elasticity of substitution between market goods and time in a given home production activity, the lower the tax rate on such market goods should be. We advance existing literature in two dimensions. First, we express the Ramsey rule in terms of elasticities of substitution, which are easier to estimate. This extends the scope of applications of the Ramsey rule in policy issues. Second, we illustrate the proposed optimal tax rule by estimating the corresponding elasticities of substitution using Mexican data. According to the model and the data, the optimal value added tax structure for Mexico in 2002 would have been a 7% tax rate on food and 5.5% tax rate on all other market goods.


Garcia-Almanza A.L.,Banco de Mexico | Alexandrova-Kabadjova B.,Banco de Mexico | Martinez-Jaramillo S.,Banco de Mexico
Proceedings - 2010 IEEE Electronics, Robotics and Automotive Mechanics Conference, CERMA 2010 | Year: 2010

This paper presents a novel method to predict bankruptcy, using a Genetic Programming (GP) based approach called Evolving Decision Rules (EDR). In order to obtain the optimum parameters of the classifying mechanism, we use a data set, obtained from the US Federal Deposit Insurance Corporation (FDIC). The set consists of limited financial institutions'data, presented as variables widely used to detect bank failure. The outcome is a set of comprehensible decision rules, which allows to identify cases of bankruptcy. Further, the reliability of those rules is measured in terms of the true and false positive rate, calculated over the whole data set and plot over the Receiving Operating Characteristic (ROC) space. In order to test the accuracy performance of the mechanism, we elaborate two experiments: the first, aimed to test the degree of the variables'usefulness, provides a quantitative and a qualitative analysis. The second experiment completed over 1000 different re-sampled cases is used to measure the performance of the approach. To our knowledge this is the first computational technique in this field able to give useful insights of the method's predictive structure. The main contributions of this work are three: first, we want to bring to the arena of bankruptcy prediction a competitive novel method which in pure performance terms is comparable to state of the art methods recently proposed in similar works, second, this method provides the additional advantage of transparency as the generated rules are fully interpretable in terms of simple financial ratios, third and final, the proposed method includes cutting edge techniques to handle highly unbalanced samples, something that is very common in bankruptcy applications. © 2010 IEEE.


Solorzano-Margain J.P.,Banco de Mexico | Martinez-Jaramillo S.,Banco de Mexico | Lopez-Gallo F.,Banco de Mexico
Computational Management Science | Year: 2013

Direct contagion has been widely studied in recent years and little evidence has been found to be relevant to the study of systemic risk. However, we argue that this limited contagion effect might be associated with a lack of relevant data. A common assumption for the estimation of the matrices of exposures is to apply the maximum entropy principle to deal with data gaps; such an assumption might lead to an underestimation of contagion risk. In this paper, there are no data gaps and the information set is extended from interbank exposures alone to exposures among most of the financial intermediaries in the Mexican financial system (we even include exposures to some international foreign banks). Naturally, the contagion risk of an extended network of exposures changes with respect to the interbank exposures network, as there are many more institutions which can be the source of contagion and there are more institutions which can fail due to contagion. The most important contribution of this paper is that it provides evidence on financial contagion with an extended exposures network under stressful conditions. The results presented here support the international efforts by the Bank for International Settlements, the International Monetary Fund and the Financial Stability Board to increase the amount of information available which can be used to assess systemic risk and contagion based on exposures and funding data. © 2013 Springer-Verlag Berlin Heidelberg.


de Melo G.,Banco de Mexico | de Melo G.,University of the Republic of Uruguay | Piaggio M.,University of the Republic of Uruguay | Piaggio M.,Autonomous University of Barcelona
Ecological Economics | Year: 2015

We provide experimental evidence on the effects of social disapproval by peers among communities of Uruguayan small-scale fishers exploiting a common pool resource (CPR). We combined this treatment with an in-group (groups from a single community)/mixed group (groups composed of fishers from different communities) treatment. Our aim is to compare the effects of social disapproval in a context in which individuals exploiting a CPR belong to different communities relative to the case in which only individuals from the same community are allowed to exploit the resource. We find that mixed groups-unlike in-groups-reduce their exploitation of the resource in response to the threat of punishment. We do not find any differences in behavior between in-groups and mixed groups when the possibility of being punished is not available. Both in in-groups and mixed groups there is substantial antisocial punishment, which leads to increased extraction of the CPR by those who are unfairly punished. We interpret that the effectiveness of social disapproval is reduced because cooperation was not perceived as the unique social norm. These findings indicate that effective peer punishment requires coordination to prevent antisocial targeting and to clarify the social signal conveyed by punishment. © 2015 Elsevier B.V.


Bravo-Benitez B.,Banco de Mexico | Alexandrova-Kabadjova B.,Banco de Mexico | Martinez-Jaramillo S.,Banco de Mexico
Computational Economics | Year: 2016

With the purpose of going further in the understanding of the payment flows among the participants in the large value payment system in Mexico, SPEI, we elaborate payment networks using historical data for a period of seven years. We conceptualize the SPEI large value payment system as a multiplex network and we study it accordingly. Based on transactions performed on a daily basis, we present three layers built on the following types of payments, i.e. transactions sent from participant to participant, from participant to third party and from third party to third party. We observe that those layers exhibit dissimilar topology: the participant to participant layer reveals the behaviour of banks settling their own obligations, which proved to be sensitive to the failure of Lehmann Brothers; the participant to third party payments layer presented stable properties; and the third party to third party layer resulted in an increasingly dense network since the system has been adopted for the settlement of low-value obligations between accountholders. In order to identify relevant players in those layers, we compare some well-known centrality measures and also a novel centrality measure specifically designed for payment systems, SinkRank. The rankings assigned by SinkRank show a low degree of coincidence across layers. © 2014, Springer Science+Business Media New York.


de Melo G.,Banco de Mexico | de Melo G.,Autonomous University of Barcelona | Piaggio M.,University of the Republic of Uruguay | Piaggio M.,Autonomous University of Barcelona
Ecological Economics | Year: 2015

We provide experimental evidence on the effects of social disapproval by peers among communities of Uruguayan small-scale fishers exploiting a common pool resource (CPR). We combined this treatment with an in-group (groups from a single community)/mixed group (groups composed of fishers from different communities) treatment. Our aim is to compare the effects of social disapproval in a context in which individuals exploiting a CPR belong to different communities relative to the case in which only individuals from the same community are allowed to exploit the resource. We find that mixed groups-unlike in-groups-reduce their exploitation of the resource in response to the threat of punishment. We do not find any differences in behavior between in-groups and mixed groups when the possibility of being punished is not available. Both in in-groups and mixed groups there is substantial antisocial punishment, which leads to increased extraction of the CPR by those who are unfairly punished. We interpret that the effectiveness of social disapproval is reduced because cooperation was not perceived as the unique social norm. These findings indicate that effective peer punishment requires coordination to prevent antisocial targeting and to clarify the social signal conveyed by punishment. © 2015 Elsevier B.V..


Coronado-Garcia L.C.,Banco de Mexico | Perez-Leguizamo C.,Banco de Mexico
Proceedings - 2011 10th International Symposium on Autonomous Decentralized Systems, ISADS 2011 | Year: 2011

A main goal of a Public Key Infrastructure (PKI) is the management of digital certificates in order to bind public keys with respective user identities assuring the uniqueness of these public keys. A PKI must guarantee the reliability of its services, assuring the timeliness of its responses and the continuity of the service despite of the growth in the number of users and the presence of hardware or software failures. In this paper we propose a model of a PKI based on a Autonomous Decentralized System (ADS) paradigm, which satisfies the requirements described above. As a result of this reseach, we have implemented such a solution and it provides its services already.


Methods for certifying a security document comprising the steps of: a) selecting a set of unique characteristics, obtained as the result of the variations in the manufacturing process and supplies, b) getting a digital image of a security document and obtaining data of the relative position between features selected from different manufacturing processes (register), c) constructing a message by measuring the register of selected features from the document and the document ID data, d) constructing a hashed message, the hashed message being the message obtained after being encoded by means of a unidirectional cryptographic hash function, e) encrypting the hashed message using a public key cryptographic system to obtain a digital certificate by means of a private key, and f) storing the digital certificate in an external database.

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