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versão impressa ISSN 0301-7036
Resumo
CAVAZOS ARROYO, Guillermo e RIVAS-ACEVES, Salvador. Relación entre la inflación y tasas de interés en México y Estados Unidos. Prob. Des [online]. 2009, vol.40, n.157, pp.111-135. ISSN 0301-7036.
Conventional monetary theory confirms Fisher's hypothesis which assumes that the real rate of interest varies only in the short term, while in the long term money is neutral. Using multivariate time-series models, and specifically VAR and VEC, with variables for Mexico and the United States (US) during the period 1994-2006, this paper studies the dynamic short-term relationship by decomposing the variance and response functions to the stimulus, and the long-term equilibrium relationship between these variables. It is shown that during the period of study the Fisher hypothesis is partly confirmed for the Mexican economy but not for the US economy. For its part, Mexican inflation has a strongly inertial component that lasts four months and accounts for nearly 80% of the inflationary changes.
Palavras-chave : time series multivariate analysis; simulation and forecast; price level; determination of the rate of interest; money.