The Interest Rate-Exchange Rate Link in the Mexican Float
This paper examines empirically the interest rate-exchange rate link in the context of the Mexican experience with a floating exchange regime. The impulse response function derived from an ECM estimated by GMM reveals a lasting positive effect of a currency depreciation on the peso-dollar interest r...
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| Formato: | Artículo científico |
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Centro de Investigación y Docencia Económicas, A.C.
2004
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| Acceso en línea: | http://www.redalyc.org/articulo.oa?id=32313101 http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=mx/mx-010&d=32313101oai |
| Aporte de: |
| Sumario: | This paper examines empirically the interest rate-exchange rate link in the context of the Mexican experience with a floating exchange regime. The impulse response function derived from an ECM estimated by GMM reveals a lasting positive effect of a currency depreciation on the peso-dollar interest rate differential. Some of the macroeconomic consequences from this pattern are discussed, together with a possible explanation based on the incorporation of the central bank reaction function into private expectations. |
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