Gómez-Zaldívar, Manuel and Ventosa-Santaulària, Daniel and Wallace, Frederick (2012): Appendix for the PPP hypothesis and structural breaks: the case of Mexico.
Preview |
PDF
MPRA_paper_41055.pdf Download (2MB) | Preview |
Abstract
This appendix presents an extended explanation for our finding of mean reversion of the real exchange rate to a shifting mean using monthly data for Mexico, 1969-2010. Because such shifts coincide with trade liberalization in Mexico, we conclude that changes in the tradable/nontradable goods composition of the price index used in the empirical estimations caused the mean shifts.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Appendix for the PPP hypothesis and structural breaks: the case of Mexico |
| Language: | English |
| Keywords: | Purchasing power parity, mean reversion, mean shifts, Mexico |
| Subjects: | C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes F - International Economics > F3 - International Finance > F31 - Foreign Exchange |
| Item ID: | 41055 |
| Depositing User: | Frederick Wallace |
| Date Deposited: | 05 Sep 2012 14:07 |
| Last Modified: | 27 Sep 2019 01:22 |
| References: | Gómez-Zaldívar, M., Ventosa-Santaulària, D. and Wallace, F.H. The PPP hypothesis and structural breaks: the case of Mexico, forthcoming in Empirical Economics. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/41055 |
All papers reproduced by permission. Reproduction and distribution subject to the approval of the copyright owners.
 |
View Item |
