Biblioteca Digital de VanguardiaThe Effects of oil prices on the spot exchange rate (MXN/USD) a VAR analysis for Mexico from 1991 to 2017
The Mexican economy has been historically dependent on oil. For this reason, our research investigates whether oil prices influence the Mexican peso exchange rate against the U.S. dollar. The database is made up of quarterly reports, taken from 1991 to 2017. A Vector Autoregressive Model (VAR) was i...
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| Formato: | artículo científico |
| Lenguaje: | Inglés |
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Universidad Autónoma Metropolitana Unidad Azcapotzalco
2018
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| Acceso en línea: | http://www.redalyc.org/articulo.oa?id=41361009003 http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/94821 |
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| author | Sergio García Eduardo Saucedo Alejandro Velasco |
| author_facet | Sergio García Eduardo Saucedo Alejandro Velasco |
| author_sort | Sergio García |
| collection | Repositorio |
| description | The Mexican economy has been historically dependent on oil. For this reason, our research investigates whether oil prices influence the Mexican peso exchange rate against the U.S. dollar. The database is made up of quarterly reports, taken from 1991 to 2017. A Vector Autoregressive Model (VAR) was implemented, which included spot and future oil prices, money supply, and GDP growth rates for Mexico and the United States, and the nominal MXN/USD exchange rate. Results indicate that an increase/decrease in the oil spot price appreciates/ depreciates the Mexican peso against the U.S. dollar. Results also indicate, however, that future oil prices do not have a statistically significant effect on the exchange rate. Further, the study found that in order to keep the Mexican peso to U.S. dollar exchange rate stable, the money supply and GDP growth rate in Mexico should be similar to those same variables in the United States. Lastly, the impulse response functions show that such effects disappear in the months following unexpected price shocks. |
| format | artículo científico |
| id | clacso-CLACSO94821 |
| institution | CLACSO, Repositorio Digital |
| language | Inglés |
| publishDate | 2018 |
| publisher | Universidad Autónoma Metropolitana Unidad Azcapotzalco |
| record_format | greenstone |
| spelling | clacso-CLACSO948212022-03-22T18:49:13Z The Effects of oil prices on the spot exchange rate (MXN/USD) a VAR analysis for Mexico from 1991 to 2017 Sergio García Eduardo Saucedo Alejandro Velasco Economía y Finanzas Oil exchange rate Mexico money supply depreciation JEL Classification E31 E43 F31 G19 The Mexican economy has been historically dependent on oil. For this reason, our research investigates whether oil prices influence the Mexican peso exchange rate against the U.S. dollar. The database is made up of quarterly reports, taken from 1991 to 2017. A Vector Autoregressive Model (VAR) was implemented, which included spot and future oil prices, money supply, and GDP growth rates for Mexico and the United States, and the nominal MXN/USD exchange rate. Results indicate that an increase/decrease in the oil spot price appreciates/ depreciates the Mexican peso against the U.S. dollar. Results also indicate, however, that future oil prices do not have a statistically significant effect on the exchange rate. Further, the study found that in order to keep the Mexican peso to U.S. dollar exchange rate stable, the money supply and GDP growth rate in Mexico should be similar to those same variables in the United States. Lastly, the impulse response functions show that such effects disappear in the months following unexpected price shocks. 2018 2022-03-22T18:49:12Z 2022-03-22T18:49:12Z artículo científico http://www.redalyc.org/articulo.oa?id=41361009003 http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/94821 en http://www.redalyc.org/revista.oa?id=413 Análisis Económico application/pdf Universidad Autónoma Metropolitana Unidad Azcapotzalco Análisis Económico (México) Num.84 Vol.XXXIII |
| spellingShingle | Economía y Finanzas Oil exchange rate Mexico money supply depreciation JEL Classification E31 E43 F31 G19 Sergio García Eduardo Saucedo Alejandro Velasco The Effects of oil prices on the spot exchange rate (MXN/USD) a VAR analysis for Mexico from 1991 to 2017 |
| title | The Effects of oil prices on the spot exchange rate (MXN/USD) a VAR analysis for Mexico from 1991 to 2017 |
| title_full | The Effects of oil prices on the spot exchange rate (MXN/USD) a VAR analysis for Mexico from 1991 to 2017 |
| title_fullStr | The Effects of oil prices on the spot exchange rate (MXN/USD) a VAR analysis for Mexico from 1991 to 2017 |
| title_full_unstemmed | The Effects of oil prices on the spot exchange rate (MXN/USD) a VAR analysis for Mexico from 1991 to 2017 |
| title_short | The Effects of oil prices on the spot exchange rate (MXN/USD) a VAR analysis for Mexico from 1991 to 2017 |
| title_sort | effects of oil prices on the spot exchange rate (mxn/usd) a var analysis for mexico from 1991 to 2017 |
| topic | Economía y Finanzas Oil exchange rate Mexico money supply depreciation JEL Classification E31 E43 F31 G19 |
| url | http://www.redalyc.org/articulo.oa?id=41361009003 http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/94821 |