This work analyzed the presence of the Balassa-Samuelson Effect for the case of Mexico. The econometric approach taken was to estimate an Autoregressive Distributed Lag model. It was specified that the nominal exchange rate depended on the differential of productivity, the differential of price levels, and the differential of interest rates between Mexico and the United States. This specification is congruent with the theoretical results obtained by Farhi and Gabaix. It was found that the differential of productivity contributes to the depreciation of the exchange rate in the long run due to the constant loss of productivity of Mexico with respect to the United States.