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Abstract
Usando el procedimiento de cointegracion autorregresivo de rezagos distribuidos (ARDL), este articulo investiga la relacion de largo plazo entre el tipo de cambio nominal de Mexico y Estados Unidos (pesos por dolar), con respecto a sus fundamentales monetarios (diferenciales en agregados monetarios, ingreso y tasas de interes). Para ello, se incorpora el diferencial en la relacion entre precios de bienes no transables a transables y se utilizan datos trimestrales para el periodo 1994q1-2018q4. La estimacion de los coeficientes de cointegracion es consistente con la hipotesis del modelo monetario del tipo de cambio. Los resultados muestran que, a largo plazo, existe un efecto Balassa-Samuelson. ****** Using the autoregressive distributed lag (ARDL) cointegration technique, this paper examines the long-run validity of the monetary exchange rate model between the Mexican peso - USD exchange rate and its traditional monetary fundamentals (money supply, output, and interest rate differentials), incorporating the differential in the relative price of nontraded to traded goods, using quarterly data for the period 1994q1-2018q4. The estimated cointegrating coefficients were theoretically consistent with the monetary model, this evidence strongly supports the long-term monetary exchange rate model, and the results show that in the long term there is a Balassa-Samuelson effect. ****** Utilizando o procedimento de cointegracao autorregressiva com defasagens distribuidas (ARDL), este artigo investiga a relacao de longo prazo entre a taxa de cambio nominal do Mexico e dos Estados Unidos (pesos por dolar), no que diz respeito aos seus fundamentos monetarios (diferenciais de agregados monetarios, renda e taxas de juros). Para tal, incorpora-se o diferencial na relacao entre os precos dos bens nao comercializaveis e comercializaveis e utilizam-se os dados trimestrais do periodo 1994q1-2018q4. A estimacao dos coeficientes de cointegracao e consistente com a hipotese do modelo monetario da taxa de cambio. Os resultados mostram que, em longo prazo, existe um efeito Balassa-Samuelson.
Suggested Citation
Horacio Catalán Alonso, 2021.
"Fundamentales macroeconómicos del tipo de cambio. Evidencia de cointegración,"
Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 40(83), pages 557-582.
Handle:
RePEc:col:000093:020179
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JEL classification:
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- F31 - International Economics - - International Finance - - - Foreign Exchange
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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