Ciclos en el Sector Bancario Mexicano: un Índice Coincidente (CP1G7) vía ACP

Abstract

Cycles in the Mexican Banking Sector: a Coincident Index (CP1G7) via ACP It is proposed to build an index about the financial cycles of the banking sector in Mexico, using performance metrics from the G7 and the ACP. This indicator is compared with the national economic and financial cycles, also the metrics behavior is analyzed before, during and after the financial Subprime and health COVID19 crises. It was found that the G7 Principal Component 1 (CP1G7) is an adequate indicator to measure the mexican banking system condition (recession or expansion), likewise, the ACP allowed to identify the variables that have the most impact in each period. There is not an indicator at national level about the banking sector cycles, nor a metrics analysis in crisis periods. The model does not include exogenous variables (economic or financial). In conclusion, both the CP1G7 index and banking metrics dynamics analysis are useful tools for the early detection of possible threats for financial stability.

Keywords

• análisis de componentes principales, crisis financieras, ciclos económicos, ciclos financieros, indicador coincidente