Incertidumbre, crecimiento del producto, inflación y depreciación cambiaria en México: Evidencia de modelos GARCH multivariados

Rodolfo Cermeño and Benjamín Oliva

No DTE 483, Working Papers from CIDE, División de Economía

Abstract: In this paper we investigate empirically the relationship among conditional mean and variances of exchange rate depreciation, inflation and output growth in Mexico using a multivariate GARCH-in-mean model (MGARCH-M). The study is performed with monthly data over the period 1993-2009. The results support the existence of a positive relationship between exchange rate depreciation and its volatility as well as a negative effect of exchange rate uncertainty on output growth. On the other hand, no evidence is found in these data to support the hypothesis that exchange rate depreciations increase output growth. Similarly no support is found for the hypotheses that inflation uncertainty affects output growth negatively and increases the mean of inflation. The empirical evidence also suggests that output growth uncertainty is not related to the levels of inflation or output growth. Finally, there is evidence that exchange rate uncertainty increases inflation and that higher inflation rates become less predictable.

Keywords: Exchange rate; GARCH model; MGARCH-M; inflation; output growth (search for similar items in EconPapers)
JEL-codes: C01 E43 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2010-02
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