Mexico: Determinants of the real exchange rate, 2001.01-2022.12.

ABSTRACT: We estimate the determinants (terms of trade, tradable to non-tradable price differentials, interest rate differentials, forward exchange rate and risk premium) of the Mexican bilateral real exchange rate (q) for the short and long run by using an Autoregressive Distributed Lag model (ARDL, Pesaran and Shin et al. (2001)) for Mexico (2001.01-2022.12). The inclusion of commercial and financial variables and finding empirical evidence of cointegration only for 2009.01-2022.12 are the main contributions. Our results indicate no cointegrating relationship either for the entire sample, or for 2001.01-2008.12. This finding has to do with the increasing international financialization process, after the 2008-2009 Great Financial Crisis. Using a double log model we find that: a) there is a strong s

SUBMITTER: Loria E 

PROVIDER: S-EPMC10699617 | biostudies-literature | 2023

REPOSITORIES: biostudies-literature