Keywords
regional inflation
co-integration
common cycles
How to Cite
Abstract
We evaluate the pass-through of the exchange rate on the price level in Mexico. We consider the national consumer price index and regional price indexes. The analysis is implemented for the long- and short-run. The results show that the pass-through has decreased at national and regional levels for both time horizons. In the long-run the reduction is similar across regions; in the short-run, however, this is different. While in some regions the transitory effect persists, in others it does not. This suggests that each region exhibits specific socioeconomic characteristics that produce distinct inflationary dynamics.
References
Baer, Werner (1967), “The inflation controversy in Latin America: A survey”, Latin American Research Review, 2, Latin American Studies Association, San Francisco, pp. 3-25.
Baqueiro, Armando, Alejandro Díaz de León y Alberto Torres (2003), “¿Temor a la flotación o a la inflación? La importancia del traspaso del tipo de cambio a los precios”, documento de investigación, Banco de México, México.
Banco de México (2008), “Índice nacional de precios al consumidor”, Banco de México, www.banxico.org.mx, 1 de junio de 2008.
Castillo-Ponce, Ramón y Jorge Herrera (2008), “Short-run dynamics of the price level and external exposure: evidence from Mexico”, International Journal of Applied Economics, 5 (1), Institute of International Economic Studies, Hammond, pp. 30-47.
cepal (Comisión Económica para América Latina y el Caribe) (2010), “Estudio Económico de América Latina y el Caribe 2009-2010”, cepal.
Conesa, Andrés (1998) “Pass-through del tipo de cambio y de los salarios: Teoría y evidencia para la industria manufacturera”, documento de investigación, Banco de México, México.
Dornbusch, Rudiger (1976), “Expectations and exchange rate dynamics”, Journal of Political Economy, 84, The University of Chicago Press, Chicago, pp. 1161-1176.
Esquivel, Gerardo y Raúl Razo (2003), “Fuentes de la inflación en México, 1989-2000: Un análisis multicausal de corrección de errores”, Estudios Económicos, 18, El Colegio de México, México, pp. 181-226.
Fullerton, Thomas y Cuauhtémoc Calderón (1999), “Inflationary pressure determinants in Mexico”, Estudios Económicos, 14, El Colegio de México, México, pp. 33-51.
Garcés, Daniel (1999), “Determinación del nivel de precios y la dinámica inflacionaria en México”, documento de investigación, Banco de México, México.
Harberger, Arnold (1963), “The dynamics of inflation in Chile”, en Carl Christ y Yehuda Grunfeld (eds.), Measurement in Economics, Stanford University Press, California, pp. 219-252.
Herrera, Jorge (2004), “Business cycles in Mexico and the United States: do they share common movements?”, Journal of Applied Economics, 7, Universidad del cema, Buenos Aires, pp. 303-323.
Holmes, Mark (2008), “Real exchange rate stationarity in Latin America and relative purchasing power parity: A regime switching approach”, Open Economies Review, 19, New York, pp. 261-275.
Issler, Joao Victor y Farshid Vahid (2001), “Common cycles and the importance of transitory shocks to macroeconomic aggregates”, Journal of Monetary Economics, 47, Elsevier, Maryland Hights, pp. 449-475.
Johansen, Soren (1991), “Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models”, Econometrica, 59, The Econometric Society, New York, pp. 1551-1580.
Kamin, Steven y Marc Klau (2003), “A multi-country comparison of the linkages between inflation and exchange rate competitiveness”, International Journal of Finance and Economic, 8, John Wiley and Sons, Ltd., Malden, pp. 167-184.
Lucas, Robert y Leonard Rapping (1969), “Real Wages, Employment and Inflation”, Journal of Political Economy, 77, The University of Chicago Press, Chicago, pp. 721-754.
Patterson, Kerry (2000), An introduction to applied econometrics a time series approach, Palgrave, New York.
Pérez-López, Alejandro y Moisés Schwartz (1999), “Inflación y ciclos económicos”, documento de investigación, Banco de México, México.
Solow, Robert (1969), Price expectations and the behavior of the price level, University Press, Manchester.
Sonora, Robert (2005), “City cpi convergence in Mexico”, Review of Development Economics, 9 (3), John Wiley and Sons, pp. 359-367.
Stock, James y Mark Watson (1988), “Testing for common trends”, Journal of the American Statistical Association, 83, American Statistical Association, Washington dc., pp. 1097-1107.
Vahid, Farshid y Robert Engle (1993), “Common trends and common cycles”, Journal of Applied Econometrics, 8, John Wiley and Sons, Ltd., Malden, pp. 341-360.
