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An Econometric Forecast Model of Private Investment in Mexico.



Un modelo de pronósticos de la formación bruta de capital privada en México Banco de Me´xico Documentos de Investigacio´n Banco de Me´xico Working Papers N◦ 2004-04 Un Modelo de Prono´sticos de la Formacio´n Bruta de Capital Privada de Me´xico Alejandro Pe´rez Lo´pez Elgue´zabal Banco de Me´xico Septiembre de 2004 La serie de Documentos de Investigacio´n del Banco de Me´xico divulga resultados preliminares de trabajos de investigacio´n econo´mica realizados en el Banco de Me´xico con la finalidad de propiciar el intercambio y debate de ideas. El contenido de los Documentos de Investigacio´n, as´ı como las conclusiones que de ellos se derivan, son responsabilidad exclusiva de los autores y no reflejan necesariamente las del Banco de Me´xico. The Working Papers series of Banco de Me´xico disseminates preliminary results of economic research conducted at Banco de Me´xico in order to promote the exchange and debate of ideas. The views and conclusions presented in the Working Papers are exclusively the responsibility of the authors and do not necessarily reflect those of Banco de Me´xico. Documento de Investigacio´n Working Paper 2004-04 2004-04 Un Modelo de Prono´sticos de la Formacio´n Bruta de Capital Privada de Me´xico1 Alejandro Pe´rez Lo´pez Elgue´zabal 2 Banco de Me´xico Abstract This paper develops an econometric model of private investment for Mexico to perform forecasts on this variable. The hypotheses for firm investment dynamics considered in the present document are derived from different variants of a model of intertemporal optimiza- tion. In the empirical section, cointegration techniques and error correction models are used. The sample considers quarterly data from the first quarter of 1980 to the third quarter of 2002. According to these models, private investment depends positively on output, and neg- atively on the real exchange rate and public investment. Forecasts are presented in terms of both point estimates and confidence intervals. In most

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