Precios de transferencia de fondos en bancos de México entre febrero de 2012 y mayo de 2021
Journal
Revista Mexicana de Economía y Finanzas
Abril - Junio 2023
ISSN
1665-5346
2448-6795
Date Issued
2023
Author(s)
Valencia Serpel, Karina
Cruz Aranda, Fernando
Type
Resource Types::text::journal::journal article
Abstract
Objective: The submitted work estimates the Funds Transfer Prices (FTP) of seven banks in Mexico. Methodology: A bond is used that reproduces the bank's cash flows, which allows estimating the term structure. The bond is valued utilizing the Nelson-Siegel model. Then, the rates of your loan portfolio and deposits are estimated to calculate the FTP. Likewise, we calculate each bank's spread of the TIIE-28 and the CETE-28 rate to establish their patterns between February 2012 and May 2021. Results: The results obtained show a discrepancy of less than 0.0006. Recommendations: The FTP methodology improves by using the most available data. Limitations and implications: To get better results, more information is required from all the bank's lines of business, making it difficult and delaying the application of the model. Originality: It shows a positive relationship between the application of the FTP methodology and profitability. Conclusions: Using the FTP methodology is possible to create value by optimizing the bank's net interest margins. JEL Classification: C13, G12, G21. © 2023 Russell Sage Foundation. Lewis-McCoy, R. L’Heureux, Natasha Warikoo, Stephen A. Matthews, and Nadirah Farah Foley. 2023.