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An Application Of Arch And Arch-M Models To Study Inflation In Mexico From 1978 To 1999

Author

Listed:
  • Norma A. Hernández Perales

    (Tecnológico de Monterrey, Campus Monterrey)

  • Russell Robins

    (Tulane University)

Abstract

En este documento se analiza el proceso de inflación en México, reconociendo que la varianza de la inflación en México cambia a través del tiempo (específicamente en 1982, 1988 y 1994) y puede ser modelada a través de un modelo ARCH (Autorregresivo de Heterocedasticidad Condicionai). Se observa que la inflación en México sigue un proceso de tipo ARCH de 1978 a 1999 y un proceso de tipo ARCH-M de 1989 a 1999. El proceso que mejor se ajusta a la varianza condicional de 1978 a 1988 es un ARCH(2) y de 1989 a 1999 un ARCH(1). En ambos periodos, el tipo de cambio es significativo en la varianza condicional y en la media de la inflación. Las variables que son significativas para explicar la inflación de 1978 a 1988 son los dos primeros rezagos de la inflación, el tipo de cambio y la oferta monetaria (M1). Estas variables, junto con los salarios, son significativas para explicar la inflación durante el periodo de 1989 a 1999.

Suggested Citation

  • Norma A. Hernández Perales & Russell Robins, 2002. "An Application Of Arch And Arch-M Models To Study Inflation In Mexico From 1978 To 1999," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 1(3), pages 169-186, Septiembr.
    • Handle: RePEc:imx:journl:v:1:y:2002:i:3:p:169-186
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    References listed on IDEAS

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    More about this item

    Keywords

    Conditional Variance; Inflation; ARCH process;
    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
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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