Appendix for the PPP hypothesis and structural breaks: the case of Mexico
AbstractThis appendix presents an extended explanation for our finding of mean reversion of the real exchange rate to a shifting mean using monthly data for Mexico, 1969-2010. Because such shifts coincide with trade liberalization in Mexico, we conclude that changes in the tradable/nontradable goods composition of the price index used in the empirical estimations caused the mean shifts.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 41055.
Date of creation: 04 Sep 2012
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Purchasing power parity; mean reversion; mean shifts; Mexico;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
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