Política Monetaria Estadounidense y Tipo De Cambio Real en México, 1996-2012

Rodolfo Cermeño and Mario Negrete García

No DTE 566, Working Papers from CIDE, División de Economía

Abstract: This paper explores empirically the relationship between the Monetary Policy in the U.S. and the real exchange rate MXN/USD over the period 1996-2012 with monthly data. We consider a cointegration approach using a model of real exchange rate fundamentals as in Goldfajn and Valdes (1999), where the international interest rate is used as an indicator of the monetary policy in the U.S. We find evidence of cointegration and a negative long run elasticity of real exchange rate with respect to the international interest rate. On the other hand, the results from error correction estimates indicate that the adjustment process that follows a disequilibrium in the long run relationship of the real exchange rate and its fundamentals lasts approximately ten periods.

Keywords: Monetary policy; real exchange rate; unit roots and cointegration (search for similar items in EconPapers)
JEL-codes: C22 C32 E52 F31 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2013-11
New Economics Papers: this item is included in nep-cba and nep-mac
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