Error correction exchange rate modeling: Evidence for Mexico

Thomas Fullerton (), Miwa Hattori () and Cuauhtemoc Calderon Villarreal ()

Journal of Economics and Finance, 2001, vol. 25, issue 3, 358-368

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 payments and monetary constructs. Empirical estimation results are fairly weak for both specifications irrespective of the interest rate variable selected. Although dynamic simulation properties of the equations are acceptable, in no case do they generate levels of accuracy that exceed those associated with a random walk. Copyright Academy of Economics and Finance 2001

Date: 2001
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Working Paper: Error Correction Exchange Rate Modeling Evidence for Mexico (2004)
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DOI: 10.1007/BF02745895

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