Mexico's business cycles: determination and synchronization between the stock market and the business cycle

The objective of this study was to determine the synchronization between Mexico's stock market cycle and business cycle. The business and stock market cycles were identified using the General Indicator of Economic Activity (IGAE) and the Mexican Stock Exchange’s Price and Quotation Index (IPC). Turning points were detected following the Bry and Boschan procedure. Classical cycles were determined according to the Burns and Mitchell definition and aligned with the criteria of the Mexican Business Cycle Dating Committee. For each cycle, the chronology, duration, frequency, mean, minimum, maximum, and correlations between both cycles were calculated. The results reveal that the IPC shows more frequent turning points compared to the IGAE. Furthermore, the stock market cycle was identified as a leading indicator of the business cycle, with a lead time of three months.