Abstract

ZAVALA-PINEDA, M. Jesica et al. Determinants of the real exchange rate between Mexico and the United States. A cointegration analysis. Agrociencia [online]. 2016, vol.50, n.4, pp.493-509. ISSN 2521-9766.

The real exchange rate (RER) is a macroeconomic variable that has implications in the welfare of a country as it is the link to international prices, and it used as a tool for macroeconomic stabilization. In Mexico there are few studies using analytical models that allow understanding the links between the variables that influence the behavior of the RER. In this study we analyzed the explanatory power of the Terms of Trade (TOT), the Reserves Differential (RD), the Productivity Differential (PD) and Oil Prices (O) on the RER between Mexico and the United States. The objective was to determine through econometric analysis the impact of key variables that affect the behavior of the RER between Mexico and the US during the 1980-2010 period, that provide a basis for a more accurate government intervention and help to improve the alignment between macroeconomic and sectoral policies. We used real variables in a dual function logarithmic model (log-log or double-log). Before the specification of the regression model the importance on the RER of the TT, the RD, PD and O was analyzed following the Engle - Granger methodology and the Granger causality test. TT, RD and O were the variables that showed a stable long-term relationship with the RER. The parameter estimation was performed using ordinary least squares. The RD and O were significant; for each percentage point the RD and O change, the RER changed 0.85 % and 0.38 % each, both in direct relationship. We conclude that the monetary policy has a major impact on the RER determination of between Mexico and the USA.

Keywords : Cointegration; productivity differential; reserves differential; real oil price; terms of trade.

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