Appendix for the PPP hypothesis and structural breaks: the case of Mexico

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.

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Year of publication:	2012-09-04
Authors:	Gómez-Zaldívar, Manuel ; Ventosa-Santaulària, Daniel ; Wallace, Frederick
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Purchasing power parity \| mean reversion \| mean shifts \| Mexico

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C22 - Time-Series Models ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011108482