La tasa de interés real en México: un análisis de raíces unitarias con cambio estructural

Abstract

THE MAIN OBJECTIVE OF THIS ESSAY IN TO ANALYZED THE EVOLUTION OF THE REAL INTEREST RATE IN MEXICO, USING QUARTERLY DATA, FOR THE PERIOD 1978-2001. DURING THIS PERIOD THE REAL INTEREST RATE FOLLOWS A TRAJECTORY WITH SUDDEN AND ABRUPT CHANGES THAT MAKES DIFFICULT TO DISTINGUISH BETWEEN A STATIONARY SERIES. HOWEVER, THE UNIT ROOT TESTS INDICATE THAT THE REAL INTEREST RATE IS STATIONARY INCLUDING THE OPTION OF STRUCTURAL CHANGES. THIS RESULT IS CONSISTENT WITH THE HYPOTHESIS THAT, IN THE LONG RUN, THE REAL INTEREST RATE CANNOT GROWTH WITHOUT A LIMIT AND THEREFORE THE SERIES MUST BE MEAN REVERSIBLE.