Error Correction Exchange Rate Modeling for Mexico: 1980 – 2001

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.

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Year of publication:	2005
Authors:	Fullerton, Th. ; Lopez, J.J.
Published in:	International Journal of Applied Econometrics and Quantitative Studies. - Euro-American Association of Economic Development. - Vol. 2.2005, 3, p. 17-30
Publisher:	Euro-American Association of Economic Development
Subject:	Nominal exchange rates \| Mexico \| error correction modeling \| Foreign Exchange

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Type of publication:	Article
Language:	English
Classification:	F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

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