Mexico's integration into NAFTA markets : a view from sectoral real exchange rates and transaction costs / / Rodolphe Blavy and Luciana Juvenal ; authorized for distribution by Steven Phillips

• Record Nr.: UNINA9910464011603321
• Autore: Blavy Rodolphe
• Pubbl/distr/stampa: [Washington, District of Columbia] : , : International Monetary Fund, , 2008; ©2008
• ISBN: 1-4623-5983-3; 1-4527-2386-9; 1-282-84077-0; 9786612840777; 1-4518-6983-5
• Descrizione fisica: 1 online resource (27 p.)
• Collana: IMF Working Papers; IMF working paper ; ; WP/08/123
• Altri autori (Persone): JuvenalLuciana; PhillipsSteven <1961->
• Disciplina: 382.917
• Soggetti: Foreign exchange rates - Mexico; Foreign exchange rates - United States; Foreign exchange rates - Canada; Electronic books.; North America Economic integration
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: CONTENTS; I. Introduction; II. Nonlinear Dynamics in Real Exchange Rates; A. Theoretical Underpinnings; B. Estimation Methodology and SETAR Model; C. Testing Procedures; III. Estimation Results; A. Testing for Nonlinear Price Convergence; Figure; 1. Extent of Price Convergence between Mexico-U.S. and Canada-U.S; Tables; 1. SETAR Estimation Results; B. Estimated Transaction Costs; C. Robustness of Results; 2. SETAR Estimation Results (Detrended Data); 3. SETAR Estimation Results (Controlling for Different Mean during Tequila Crisis); D. Half-Lives; 4. Estimation of Half-Lives for Sectoral Real Exchange Rates (In Months)5. SETAR Estimation Results for Aggregate Price Indices; Box; 1. Real Exchange Rate Thresholds at the Aggregate CPI Level; IV. Determinants of Thresholds in Real Exchange Rates; V. Summary of Results and Conclusion; 6. Threshold Regressions; References
• Sommario/riassunto: A self-exciting threshold autoregressive model is used to measure transaction costs that may explain relative price differentials and nonlinearities in the behavior of sectoral real exchange rates across Mexico, Canada and the U.S. Interpreting price threshold bands as transactions costs, we find evidence that Mexico still face higher transaction costs than their developed counterparts, even though trade liberalization lowers relative price differentials between countries. The distance between countries and nominal exchange rate volatility are found to be determinants of transaction costs that