Error Correction Exchange Rate Modeling Evidence for Mexico

Thomas Fullerton (), Miwa Hattori and Cuauhtemoc CALDERON VILLARREAL ()
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Miwa Hattori: University of Texas

International Finance from EconWPA

Abstract: A set of error correction models are proposed for the nominal exchange rate between the Mexican peso and the United States dollar. The basic theoretical frameworks utilize balance of payment and monetary model constructs. Empirical estimation results are fairly weak for both specifications irrespective of the interst rate variable selected. Although dynamic simulation properties of the equations are acceptable, in no case do they generate levels of accuracy that exceed that associated with a simple random walk.

Keywords: Mexico; Error Correction Modeling; Nominal Exchange Rates (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn
Date: 2004-06-01
Note: Type of Document - doc; pages: 23
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpif:0406001

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