IDEAS home Printed from https://ideas.repec.org/a/cem/jaecon/v10y2007n1p185-211.html
   My bibliography  Save this article

Random walks and half-lives in Chilean and Mexican peso real exchange rates: 1980-2003

Author

Abstract

Several papers have shown that high-inflation contributes to mean reversion in real exchange rates. This paper studies the Chilean peso (CLP) and Mexican peso (MXN) real exchange rates : over 1980-2003. Three datasets are used: two with quarterly and monthly bilateral data (against the U.S. dollar) with consumer and producer price indices and another with monthly real : effective rate exchange rates (REER). Unit root tests do not reject the root in levels for both : currencies. Half-lives, however, contrast markedly: at 5 years or infinity for the Chilean peso and between 1 and 3 years for the Mexican peso. These findings suggest that the sharp : depreciations in MXN and Mexico's relatively higher inflation record may have amplified : monetary forces in the dynamics of the real exchange rates. :

Suggested Citation

  • André Varella Mollick, 2007. "Random walks and half-lives in Chilean and Mexican peso real exchange rates: 1980-2003," Journal of Applied Economics, Universidad del CEMA, vol. 10, pages 185-211, May.
    • Handle: RePEc:cem:jaecon:v:10:y:2007:n:1:p:185-211
    as

    Download full text from publisher

    File URL: https://ucema.edu.ar/publicaciones/download/volume10/varella_mollick.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fullerton Jr., Thomas M. & Fierro, Karen P. & Villalobos, Emmanuel, 2009. "Cross-border restaurant price and exchange rate interactions," The North American Journal of Economics and Finance, Elsevier, vol. 20(3), pages 281-288, December.
    2. Andre Varella Mollick, 2016. "Adoption of the Gold Standard and Real Exchange Rates in the Core and Periphery, 1870–1913," International Finance, Wiley Blackwell, vol. 19(1), pages 89-107, April.
    3. D. Ventosa-Santaul a & M. G -Zald & F. H. Wallace, 2015. "The real exchange rate, regime changes and volatility shifts," Applied Economics, Taylor & Francis Journals, vol. 47(24), pages 2445-2454, May.

    More about this item

    Keywords

    ARMA models; half-lives; random walks; real exchange rates; unit roots;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cem:jaecon:v:10:y:2007:n:1:p:185-211. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Valeria Dowding (email available below). General contact details of provider: https://edirc.repec.org/data/cemaaar.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.