Error Correction Exchange Rate Modeling for Mexico: 1980 – 2001
Thomas Fullerton and
Jose Lopez ()
International Journal of Applied Econometrics and Quantitative Studies, 2005, vol. 2, issue 3, 17-30
Error correction models are estimated for the nominal exchange rate between the Mexican peso and the United States dollar using quarterly data. Empirical estimation results exhibit weaknesses for all four specifications irrespective of the interest rate variable selected. Dynamic simulation properties of the models also exhibit problems. These results are similar to results obtained in earlier research for the peso using annual frequency data.
Keywords: Nominal exchange rates; Mexico; error correction modeling; Foreign Exchange (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
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