Abstract
A short and long run analysis of the factors that influence the credit default of Mexican companies and individuals is carried out. The short-run analysis is performed using a Non-normal Asymmetric Conditional Dynamic Correlation Model that provides empirical evidence on the importance of US manufacturing volatility and the peso- dollar exchange rate on consumption volatility and local default. The paper also provides empirical evidence on the cointegrated or long-run relationship between the levels of these variables, where the US manufacture is the external variable that triggers the changes within the system formed by consumption and Mexican industry, the 91 days interest rate, the exchange rate and current and past due loans.
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