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Fundamentales macroeconómicos del tipo de cambio. Evidencia de cointegración
Macroeconomic fundamentals of the exchange rate. Evidence of cointegration
Fundamentos macroeconômicos da taxa de câmbio. Evidência de cointegração
DOI:
https://doi.org/10.15446/cuad.econ.v40n83.82607Palabras clave:
ARDL, cointegración, modelo monetario, tipo de cambio (es)ARDL, cointegração, modelo monetário, taxa de câmbio (pt)
ARDL, cointegration, exchange rate, monetary model (en)
Usando el procedimiento de cointegración autorregresivo de rezagos distribuidos (ARDL), este artículo investiga la relación de largo plazo entre el tipo de cambio nominal de México y Estados Unidos (pesos por dólar), con respecto a sus fundamentales monetarios (diferenciales en agregados monetarios, ingreso y tasas de interés). Para ello, se incorpora el diferencial en la relación entre precios de bienes no transables a transables y se utilizan datos trimestrales para el periodo 1994q1-2018q4. La estimación de los coeficientes de cointegración es consistente con la hipótesis del modelo monetario del tipo de cambio. Los resultados muestran que, a largo plazo, existe un efecto Balassa-Samuelson.
Using the autoregressive distributed lag (ARDL) cointegration technique, this paper examines the long-run validity of the monetary exchange rate model between the Mexican peso - USD exchange rate and its traditional monetary fundamentals (money supply, output, and interest rate differentials), incorporating the differential in the relative price of nontraded to traded goods, using quarterly data for the period 1994q1- 2018q4. The estimated cointegrating coefficients were theoretically consistent with the monetary model, this evidence strongly supports the
long-term monetary exchange rate model, and the results show that in the long term there is a Balassa-Samuelson effect.
Utilizando o procedimento de cointegração autorregressiva com defasagens distribuídas (ARDL), este artigo investiga a relação de longo prazo entre a taxa de câmbio nominal do México e dos Estados Unidos (pesos por dólar), no que diz respeito aos seus fundamentos monetários (diferenciais de agregados monetários, renda e taxas de juros). Para tal, incorpora-se o diferencial na relação entre os preços dos bens não comercializáveis e comercializáveis e utilizam-se os dados trimestrais do período 1994q1-2018q4. A estimação dos coeficientes de cointegração é consistente com a hipótese do modelo monetário da taxa de câmbio. Os resultados mostram que, em longo prazo, existe um efeito Balassa-Samuelson.
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1. Eduardo Loría, Lorenzo Nalin, Muhammad Kamran Khan. (2023). Mexico: Determinants of the real exchange rate, 2001.01–2022.12. PLOS ONE, 18(12), p.e0286331. https://doi.org/10.1371/journal.pone.0286331.
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