05415oam 22011774 450 991078823960332120231027175645.01-4623-5983-31-4527-2386-91-282-84077-097866128407771-4518-6983-5(CKB)3170000000055009(EBL)1607846(SSID)ssj0000944170(PQKBManifestationID)11560555(PQKBTitleCode)TC0000944170(PQKBWorkID)10982731(PQKB)11418693(OCoLC)276784441(MiAaPQ)EBC1607846(IMF)WPIEE2008123(EXLCZ)99317000000005500920020129d2008 uf 0engur|n|---|||||txtrdacontentcrdamediacrrdacarrierMexico’s Integration into NAFTA Markets : A View from Sectoral Real Exchange Rates and Transaction Costs /Luciana Juvenal, Rodolphe BlavyWashington, D.C. :International Monetary Fund,2008.1 online resource (27 pages)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 that limit price convergence. Other factors-including weak domestic competition and transportation-are also likely to be important.IMF Working Papers; Working Paper ;No. 2008/123Foreign exchange ratesMexicoForeign exchange ratesUnited StatesForeign exchange ratesCanadaInvestments: CommoditiesimfExports and ImportsimfForeign ExchangeimfMacroeconomicsimfTrade PolicyimfInternational Trade OrganizationsimfGeneral Financial Markets: General (includes Measurement and Data)imfPrice LevelimfInflationimfDeflationimfCurrencyimfForeign exchangeimfInternational economicsimfInvestment & securitiesimfReal exchange ratesimfExchange ratesimfNorth American Free Trade AgreementimfArbitrageimfConsumer price indexesimfCommercial treatiesimfFinancial instrumentsimfPrice indexesimfNorth AmericaEconomic integrationUnited StatesimfForeign exchange ratesForeign exchange ratesForeign exchange ratesInvestments: CommoditiesExports and ImportsForeign ExchangeMacroeconomicsTrade PolicyInternational Trade OrganizationsGeneral Financial Markets: General (includes Measurement and Data)Price LevelInflationDeflationCurrencyForeign exchangeInternational economicsInvestment & securitiesReal exchange ratesExchange ratesNorth American Free Trade AgreementArbitrageConsumer price indexesCommercial treatiesFinancial instrumentsPrice indexes382.917Juvenal Luciana1463973Blavy Rodolphe1463974DcWaIMFBOOK9910788239603321Mexico’s Integration into NAFTA Markets3673505UNINA