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Error Correction Exchange Rate Modeling for Mexico: 1980 – 2001

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  • Fullerton, Th.
  • Lopez, J.J.

Abstract

Error correction models are estimated for the nominal exchange rate between the Mexican peso and the United States dollar using quarterly data. Empirical estimation results exhibit weaknesses for all four specifications irrespective of the interest rate variable selected. Dynamic simulation properties of the models also exhibit problems. These results are similar to results obtained in earlier research for the peso using annual frequency data.

Suggested Citation

  • Fullerton, Th. & Lopez, J.J., 2005. "Error Correction Exchange Rate Modeling for Mexico: 1980 – 2001," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(3), pages 17-30.
    • Handle: RePEc:eaa:ijaeqs:v:2:y2005:i:3_1
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    File URL: http://www.usc.es/economet/reviews/ijaeqs231.pdf
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    References listed on IDEAS

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    3. Thomas Fullerton & Miwa Hattori & Cuauhtémoc Calderón, 2001. "Error correction exchange rate modeling: Evidence for Mexico," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(3), pages 358-368, September.
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    8. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
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    Cited by:

    1. Thomas M. Fullerton, Jr. & Juan Carlos Vázquez Morales & Martha Patricia Barraza de Anda, 2011. "Dinamica de corto plazo del empleo en las maquiladoras de Reynosa, Tamaulipas," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 23-40, May.
    2. Dipanwita Barai & Thomas M. Fullerton, Jr. & Adam G. Walke, 2018. "Exchange Rate Forecast Futility For The Taka," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 6(2), pages 1-7.

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    More about this item

    Keywords

    Nominal exchange rates; Mexico; error correction modeling; Foreign Exchange;
    All these keywords.

    JEL classification:

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

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