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Política Monetaria Estadounidense y Tipo De Cambio Real en México, 1996-2012

Author

Listed:
  • Rodolfo Cermeño

    (Division of Economics, CIDE)

  • Mario Negrete García

Abstract

This paper explores empirically the relationship between the Monetary Policy in the U.S. and the real exchange rate MXN/USD over the period 1996-2012 with monthly data. We consider a cointegration approach using a model of real exchange rate fundamentals as in Goldfajn and Valdes (1999), where the international interest rate is used as an indicator of the monetary policy in the U.S. We find evidence of cointegration and a negative long run elasticity of real exchange rate with respect to the international interest rate. On the other hand, the results from error correction estimates indicate that the adjustment process that follows a disequilibrium in the long run relationship of the real exchange rate and its fundamentals lasts approximately ten periods.

Suggested Citation

  • Rodolfo Cermeño & Mario Negrete García, 2013. "Política Monetaria Estadounidense y Tipo De Cambio Real en México, 1996-2012," Working papers DTE 566, CIDE, División de Economía.
    • Handle: RePEc:emc:wpaper:dte566
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    File URL: http://www.economiamexicana.cide.edu/RePEc/emc/pdf/DTE/DTE566.pdf
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    More about this item

    Keywords

    Monetary policy; real exchange rate; unit roots and cointegration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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