P., LUIS MIGUEL GALINDO

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Brazilian Journal of Political Economy

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Articles • Brazil. J. Polit. Econ. 16 (2) • Apr-Jun 1996 • https://doi.org/10.1590/0101-31571996-0874 copy

La demanda de M4 y la substitución de moneda en Mexico: 1978-1990

A demanda por M4 e a substituição da moeda no México: 1978-1990

Authorship SCIMAGO INSTITUTIONS RANKINGS

ABSTRACT

The objective of this essay is to analyze the demand for M4 and the capital flows in Mexico for the period 1978-1990. The econometric analysis heavily uses the general to specific methodology, cointegration and an error correction model. The empirical evidence shows the existence of a stable demand for M4. The demand for M4 depends, in the long run, on income and interest rate. In the short run the changes in the inflation rate and the currency substitution effect are relevant factors to explain M4. The presence of currency substitution implies that the authorities must take account of the differentials in the interest rates between Mexico and the United States.

KEYWORDS:
Demand for money; M4; inflation

Modelo econometrico	Restricciones
Especificación tradicional	$β_{3} = β_{4} = 0$
Modelo de inflación	$β_{4} = 0$
Substitución de moneda	$β_{3} = 0$

	ADF(lags) (p-val)	Phillips-Perron
$(m 4 - p)$	1.34 (2) (.183)	-.70 (.060)
$t . (m 4 - p)$	-3.71 (1) (.000)	-6.71 (.000)
y	-1.42 (4) (.004)	-1.39 (.082)
∆y	-2.67 (3) [.010)	-8.14 [.000)
R	-.56 (2) [.573)	-1.65 (.049]
∆R	-7.02 (1) (.000)	-6.97 (.000)
SM	-1.85 (2) (.068)	-6.57 (.000)
∆SM	-8.74 (1) [.000)	-15.87 [.000)
∆p	-1.18 (2) [.214)	-2.63 [.004)
∆∆p	-7.00 (1) [.000)	-7.06 [.000)

Ecuación (6):¹¹
$M u e s t r a : 1978 Q 3 - 1990 Q 4 N = 50 R^{2} = .64 R S S = .02765 F (9,40) = 11.01 [.000]$
$P A R (24,18) = .07$
$L M (4,38) = .52 [.720] F F (1,41) = .15 [.699] J B (2) = .09 [.952]$
$W H I T E (1,48) = .84 [.000] A R C H (4,38) = .47 [.752]$
$C H O W (8,34) = .38 [.920]$
$P F (12,30) = .511 [.886]$
CUSUM: Pasa CUSUMQ: Pasa
Ecuación (7):
$M u e s t r a : 1978 Q 3 - 1990 Q 4 N = 50 R^{2} = .64 R S S = .02765$
$F (9,40) = 11.01 [.000]$
$P S E U D O - F (23, 17) = 1.39 [.253]$
$L M (4,36) = .39 [.812] F F (1,39) = .12 [.722] J B (2) = .36 [.833]$
$W H I T E (1,48) = 1.50 [.221] A R C H (4,38) = 1.48 [.229]$

	t	$t - 1$	$t - 2$	$t - 3$	$t - 4$
$Δ (m_{4} - p)$		.48	1.50	.22	.59
t(...)		(.86)	(1.37)	(.24)	(.87)
∆y	-1.22	-1.40	-.58	-.57	-.32
t(...)	(-.88)	(-.97)	(-.60)	(-.75)	(-1.05)
∆R	.001	.004	.004	.004	.001
t(...)	(.50)	(1.38)	(1.09)	(.89)	(.52)
∆∆p	-.009	-.01	-.008	-.008	.001
t(...)	(-,1.27)	(-1.35)	(-.71)	(-.82)	(.39)
∆SM	-0004	-.0002	.0006	-.0007	.0001
t(...)	(-.88)	(-.53)	(-1.17)	(-1.27)	(.89)
$(m_{4} - p)$					.38
t(...)					(.60)
y					-.59
t(...)					(-.60)
R					.001
t(...)					(.72)
SM					-.001
t(...)					(-1.22)
β₀	1.78
t(...)	(.62)
Q ₁		.05
t(...)		(.45)
Q ₂			-.01
t(...)			(-.16)
Q ₃				-.04
t(...)				(-.84)

Hipótesis
Nula	Alternativa	Estadístico	95% Valor crítico	90% Valor crítico
$r = O$	$r = 1$	24.24	22.00	19.76
$r < = 1$	$r = 2$	8.24	15.67	13.75
$r < = 2$	$r = 3$	2.13	9.24	7.52

Hipótesis
Nula	Alternativa	Estadístico	95% Valor crítico	90% Valor crítico
$r = 0$	$r > = 1$	34.62	34.91	32.00
$r < = 1$	$r > = 2$	10.37	19.96	17.85
$r < = 2$	$r > = 3$	2.13	9.24	7.52

Centro de Economia Política Rua Araripina, 106, CEP 05603-030 São Paulo - SP, Tel. (55 11) 3816-6053 - São Paulo - SP - Brazil
E-mail: cecilia.heise@bjpe.org.br

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[1] **
Agradezco los comentos de Lília Dominguez, Guadalupe Mantey de Anguiano y Fidel Aroche. Desde luego los errores son solo mi responsabilidad.

$(m_{4} - p)$	1.71 (-1.00)
y	-3.38 (1.96)
R	.004 (-.002)
β₀	11.46 (-6.49)