Appendix

Data definitions and sources

Nominal interest rate: Chile: average of deposit and lending rates, 90 to 365-day operations, in %. Source: Central Bank. Mexico: interest rate on 28-day Treasury bills (Cetes), in %. Source: Banco de México. US: 3-month T-bill rate calculated at constant maturity, in %. Source: Federal Reserve.

Real interest rate: It corresponds to the difference between the nominal interest rate and the contemporaneous inflation rate. The inflation rate was calculated as the percentage 12-month (or, in figure 1, 4-quarter) variation in the consumer price index.

Real exchange rate: The (multilateral) real exchange rate indeces were taken directly from the respective central banks. A rise in the index indicates a real currency depreciation.

Output: Chile: Monthly index of general economic activity (imacec). The series from January 1989 to December 2001 corresponds to the index based on 1986. A second series starting in January 1996 corresponds to the 1996-based index. Source: Central Bank of Chile. Mexico: Monthly index of global economic activity (igae), 1993=100. Source: INEGI. The output gap is the log difference between output and its Hodrick-Prescott trend. Monthly fixed effects were removed from the resulting series. The regression analysis uses the left-sided, 12-month moving average.