Advanced Search
MyIDEAS: Login to save this paper or follow this series

Impulse Response Functions Analysis: An application to the Exchange Rate Pass-Through in Mexico

Contents:

Author Info

  • Sylvia Beatriz Guillermo Peon

    ()
    (Benemérita Universidad Autónoma de Puebla)

  • Martin Rodriguez Brindis

    (Universidad La Salle, campus Oaxaca)

Registered author(s):

    Abstract

    The paper aims at analyzing the Exchange Rate Pass-Through mechanism for the Mexican economy and is carried out using STATA under two time series frameworks. The first framework is a recursive structural VAR (SVAR) model which, unlike the traditional VAR model, allows us to impose additional restrictions on the contemporaneous and lagged matrices of coefficients. The second is a VEC approach, which considers the possibility of valid cointegrating relationships and allows to incorporate the deviations from the long run equilibrium (cointegrating equations) as explanatory variables when modeling the short run behavior of the variables. Both frameworks aim at the estimation of impulse-response-functions (IRFs) as a tool to analyze the degree and timing of the effect of exchange rate changes on domestic prices using impulse-response functions (IRFs). The recursive SVAR approach allows us to estimate the structural IRFs while the VEC approach uses the Cholesky decomposition of the white noise variance-covariance matrix by imposing some necessary restrictions so that causal interpretation of the simple IRFs is possible. If cointegration exists, estimation of the IRFs provides a tool to identify when the effect of a shock to the exchange rate is transitory and when is permanent.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://repec.org/norl13/gulliermo.ppsx
    Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Christopher F Baum)
    Download Restriction: no

    Bibliographic Info

    Paper provided by Stata Users Group in its series 2013 Stata Conference with number 17.

    as in new window
    Length:
    Date of creation: 01 Aug 2013
    Date of revision:
    Handle: RePEc:boc:norl13:17

    Contact details of provider:
    Web page: http://stata.com/meeting/new-orleans13/
    More information through EDIRC

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:boc:norl13:17. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.