Determinants of the Inflationary Process: A Cointegration Analysis for the Case of Mexico, 1980–2001
DOI:
https://doi.org/10.29201/peipn.v1i1.236Keywords:
Price level, inflation, wages, money supply and exchange-rateAbstract
In this work, cointegration analysis is applied to study the determinants of Mexico’s inflationary process, for the period from January 1980 to December 2001. Additionally, it recognizes that there are both inflationary persistence and uncertainty, which substantially modified the inflation path, that is analyzed using a GARCH-M error correction model. The long run relationship is established between the exchange rate level and the growth rates of wages, prices and monetary supply. There were found at least two cointegration links, which could indicate that, for the long run, some variable is modified through the process and we should think in a model at which it does not consider it as exogenous.
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