Los rendimientos cambiarios latinoamericanos y la (a)simetría de los shocks informacionales: un análisis econométrico

Arturo Lorenzo Valdés; Antonio Ruiz Porras

doi:10.29105/ensayos31.2-4

Autores/as

Arturo Lorenzo Valdés
Antonio Ruiz Porras

DOI:

https://doi.org/10.29105/ensayos31.2-4

Palabras clave:

Rendimientos cambiarios, Latinoamérica, TGARCH, EGARCH, Cointegración.

Resumen

Esta investigación presenta un estudio comparativo de los rendimientos cambiarios latinoamericanos, en el que se usó la metodología de cointegración de Johansen y los modelos asimétricos TGARCH y EGARCH. Los resultados indican que las volatilidades de los rendimientos de Argentina, Brasil, Chile y Colombia no presentan efectos asimétricos. En México y Perú las malas noticias reducen la volatilidad de los rendimientos cambiarios; además, los resultados sugieren que los rendimientos de Argentina, Brasil, Chile y Perú se describen mediante el modelo AR(1)-TGARCH(1,1); mientras que los rendimientos de Colombia y México lo hacen a través del AR(1)-EGARCH(1,1). Finalmente, se usaron rendimientos diarios para el periodo comprendido entre el 2 de enero de 2002 y el 27 de septiembre de 2011.

Clasificación JEL: F31, G15, C58.

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