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The real exchange rate, regime changes and volatility shifts
(Centro de Investigación y Docencia Económicas, División de Economía, 2013)
We make use of a data set that is both long span and high frequency to test for purchasing power parity while allowing for a structural shift in the volatility of the Mexico-US bilateral real exchange rate. The Kim, Leybourne ...
Purchasing power parity in Mexico since 1933
(Centro de Investigación y Docencia Económicas, 2017-06-02)
A new approach to cointegration developed by Enders et al. (Cointegration tests using instrumental variables with an example of the U.K. demand for money. Unpublished working paper. http://wenders.people.ua.edu/time-seri ...
Is the real effective exchange rate biased against the PPP hypothesis?
(Centro de Investigación y Docencia Económicas, División de Economía, 2012)
We show that the use of the real effective exchange rate to test for purchasing power parity, as in Astorga (2012) and other studies, introduces a bias against finding evidence of PPP. The bias is illustrated using unit ...
Long run neutrality of money in Mexico
(Centro de Investigación y Docencia Ecónomicas, 2007)
The Fisher-Seater (FS) methodology is used to investigate long run money neutrality with respect to real GDP and real output in ten selected industries in Mexico. Size distortions and low power of the FS test, issues first ...