Error Correction Exchange Rate Modeling Evidence for Mexico

Thomas Fullerton (), Miwa Hattori and Cuauhtemoc Calderon Villarreal ()
Additional contact information
Miwa Hattori: University of Texas

International Finance from University Library of Munich, Germany

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)
Pages: 23 pages
Date: 2004-06-01
New Economics Papers: this item is included in nep-ifn
Note: Type of Document - doc; pages: 23
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/if/papers/0406/0406001.pdf (application/pdf)
https://econwpa.ub.uni-muenchen.de/econ-wp/if/papers/0406/0406001.ps.gz (application/postscript)
https://econwpa.ub.uni-muenchen.de/econ-wp/if/papers/0406/0406001.doc.gz (application/msword)

Related works:
Journal Article: Error correction exchange rate modeling: Evidence for Mexico (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpif:0406001

Access Statistics for this paper

More papers in International Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().