03638nam 2200685 450 991046401160332120181206180255.01-4623-5983-31-4527-2386-91-282-84077-097866128407771-4518-6983-5(CKB)3170000000055009(EBL)1607846(SSID)ssj0000944170(PQKBManifestationID)11560555(PQKBTitleCode)TC0000944170(PQKBWorkID)10982731(PQKB)11418693(OCoLC)276784441(MiAaPQ)EBC1607846(EXLCZ)99317000000005500920140226h20082008 uy 0engur|n|---|||||txtccrMexico'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[Washington, District of Columbia] :International Monetary Fund,2008.©20081 online resource (27 p.)IMF Working PapersIMF working paper ;WP/08/123Description based upon print version of record.1-4519-1437-7 Includes bibliographical references.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-Lives4. 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; ReferencesA 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 thatIMF Working PapersForeign exchange ratesMexicoForeign exchange ratesUnited StatesForeign exchange ratesCanadaNorth AmericaEconomic integrationElectronic books.Foreign exchange ratesForeign exchange ratesForeign exchange rates382.917Blavy Rodolphe901687Juvenal Luciana1033284Phillips Steven1961-1033285MiAaPQMiAaPQMiAaPQBOOK9910464011603321Mexico's integration into NAFTA markets2451738UNINA