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Appendix for the PPP hypothesis and structural breaks: the case of Mexico

Author

Listed:
  • Gómez-Zaldívar, Manuel
  • Ventosa-Santaulària, Daniel
  • Wallace, Frederick

Abstract

This 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.

Suggested Citation

  • Gómez-Zaldívar, Manuel & Ventosa-Santaulària, Daniel & Wallace, Frederick, 2012. "Appendix for the PPP hypothesis and structural breaks: the case of Mexico," MPRA Paper 41055, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:41055
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    File URL: https://mpra.ub.uni-muenchen.de/41055/1/MPRA_paper_41055.pdf
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    Cited by:

    1. Monica Raileanu Szeles & Rodrigo Mendieta Muñoz, 2016. "Analyzing the Regional Economic Convergence in Ecuador. Insights from Parametric and Nonparametric Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 43-65, June.

    More about this item

    Keywords

    Purchasing power parity; mean reversion; mean shifts; Mexico;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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