Resumo

LANDA DIAZ, Heri O.. Determinants of the exchange rate in Mexico: the portfolio balance approach. Prob. Des [online]. 2023, vol.54, n.214, pp.133-158.  Epub 18-Mar-2024. ISSN 0301-7036.  https://doi.org/10.22201/iiec.20078951e.2023.214.69985.

This paper aims to examine the determinants of the exchange rate based on the portfolio balance model. Using the Autoregressive Distributed Lag Model (ARDL), we empirically evaluate the effect of private net foreign assets and the traditional factors affecting the exchange rate dynamics in Mexico from 1990-2019. The main results suggest that:i)the portfolio approach constitutes a consistent system to explain the behavior of the exchange rate;ii)an increase in economic activity and interest rate differentials triggers an appreciation of the exchange rate;iii)an increase in the inflation gap and private net foreign assets causes a depreciation.

Palavras-chave : exchange rate determinants; portfolio balance model; ARDL model.

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