Error Correction Exchange Rate Modeling Evidence for Mexico
AbstractA set of error correction models are proposed for the nominal exchange rate between the Mexican peso and the United States dollar. The basic theoretical frameworks utilize balance of payment and monetary model constructs. Empirical estimation results are fairly weak for both specifications irrespective of the interst rate variable selected. Although dynamic simulation properties of the equations are acceptable, in no case do they generate levels of accuracy that exceed that associated with a simple random walk.
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Bibliographic InfoPaper provided by EconWPA in its series International Finance with number 0406001.
Length: 23 pages
Date of creation: 01 Jun 2004
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Mexico; Error Correction Modeling; Nominal Exchange Rates;
Other versions of this item:
- Thomas Fullerton & Miwa Hattori & Cuauhtémoc Calderón, 2001. "Error correction exchange rate modeling: Evidence for Mexico," Journal of Economics and Finance, Springer, vol. 25(3), pages 358-368, September.
- F31 - International Economics - - International Finance - - - Foreign Exchange
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