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An Econometric Forecast Model of Private Investment in Mexico

Author

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  • Alejandro Pérez López Elguézabal

Abstract

This paper develops an econometric model of private investment for Mexico to perform forecasts on this variable.

Suggested Citation

  • Alejandro Pérez López Elguézabal, 2004. "An Econometric Forecast Model of Private Investment in Mexico," Working Papers 2004-04, Banco de México.
  • Handle: RePEc:bdm:wpaper:2004-04
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    File URL: http://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/%7B1EDA8A25-618D-690F-A73B-DD4F93AB8D9C%7D.pdf
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    References listed on IDEAS

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    1. Stephen G. Cecchetti & Guy Debelle, 2006. "Has the inflation process changed?," Economic Policy, CEPR;CES;MSH, vol. 21(46), pages 311-352, April.
    2. Ramsey James B. & Lampart Camille, 1998. "The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, pages 1-22.
    3. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, Elsevier.
    4. Jensen, Mark J., 2000. "An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 361-387, March.
    5. Geraats, Petra M, 2000. "Why Adopt Transparency? The Publication of Central Bank Forecasts," CEPR Discussion Papers 2582, C.E.P.R. Discussion Papers.
    6. Carlos Capistrán & Manuel Ramos Francia, 2006. "Inflation Dynamics in Latin America," Working Papers 2006-11, Banco de México.
    7. Manuel Ramos Francia & Daniel Chiquiar & Antonio E. Noriega, 2007. "Time Series Approach to Test a Change in Inflation Persistence: The Mexican Experience," Working Papers 2007-01, Banco de México.
    8. Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Staff Working Papers 02-3, Bank of Canada.
    9. Li, Yun Daisy & Iscan, Talan B. & Xu, Kuan, 2010. "The impact of monetary policy shocks on stock prices: Evidence from Canada and the United States," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 876-896, September.
    10. Carlos Capistrán & Manuel Ramos-Francia, 2009. "Inflation Dynamics In Latin America," Contemporary Economic Policy, Western Economic Association International, vol. 27(3), pages 349-362, July.
    11. Llosa Gonzalo & Tuesta Vicente, 2007. "Learning about Monetary Policy Rules when the Cost Channel Matters," Working Papers 2007-014, Banco Central de Reserva del Perú.
    12. Davidson, Russell & Labys, Walter C & Lesourd, Jean-Baptiste, 1998. "Wavelet Analysis of Commodity Price Behavior," Computational Economics, Springer;Society for Computational Economics, vol. 11(1-2), pages 103-128, April.
    13. Felices Guillermo & Tuesta Vicente, 2007. "Monetary Policy in Dual Currency Environment," Working Papers 2007-006, Banco Central de Reserva del Perú.
    14. Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, EconWPA.
    15. Jim Granato & Melody Lo & M. C. Sunny Wong, 2007. "A note on Romer's openness-inflation relation: the responsiveness of AS and AD to economic openness and monetary policy," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 191-197.
    16. Crowley, Patrick M., 2005. "An intuitive guide to wavelets for economists," Research Discussion Papers 1/2005, Bank of Finland.
    17. Nicoletta Batini, 2006. "Euro area inflation persistence," Empirical Economics, Springer, pages 977-1002.
    18. Llosa, Luis-Gonzalo & Tuesta, Vicente, 2009. "Learning about monetary policy rules when the cost-channel matters," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1880-1896, November.
    19. Pivetta, Frederic & Reis, Ricardo, 2007. "The persistence of inflation in the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1326-1358, April.
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    More about this item

    Keywords

    Private Investment; Intertemporal Optimization; Investment with Adjustment Costs; Investment Forecasts;

    JEL classification:

    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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