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.

Descargas

Los datos de descargas todavía no están disponibles.

Citas

Andersen, T., Bollerslev, T., Diebold F. X. and Labys P. (2000). “Exchange rate returns standardized by realized volatility are (nearly) Gaussian”. Multinational Finance Journal, 4(3-4), 159-179. DOI: https://doi.org/10.17578/4-3/4-2

Andersen, T. G., Bollerslev, T., Diebold, F. X. and Vega, C. (2005). “Micro effects of macro announcements: Real-time price discovery in foreign exchange”. American Economic Review, 93(1), 38-62. DOI: https://doi.org/10.1257/000282803321455151

Beine, M., Lahaye, J., Laurent, S., Neely, C. J. and Palm, F. C. (2007). “Central bank intervention and exchange rate volatility, its continuous and jump components”. International Journal of Finance and Economics, 12(2), 201-223. DOI: https://doi.org/10.1002/ijfe.330

Bollerslev, T. (2010). Glossary to ARCH (GARCH). In Bollerslev, T., Russell, J. R. and Watson, M.W. (Eds.). Volatility and Time Series Econometrics: Essays in Honor of Robert Engle (137-163). Oxford: Oxford University Press. DOI: https://doi.org/10.1093/acprof:oso/9780199549498.001.0001

Bollerslev, T. and Wooldridge, J. M. (1992). “Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances”. Econometric Reviews, 11(2), 143-172. DOI: https://doi.org/10.1080/07474939208800229

Bonilla, C. A., Romero-Meza, R. and Hinich, M. J. (2007). “GARCH Inadequacy for modelling exchange rates: Empirical evidence from Latin America”. Applied Economics, 39(19), 2529-2533. DOI: https://doi.org/10.1080/00036840600707316

De Gregorio, J. and Tokman A. (2005). Flexible exchange rate regime and forex intervention. In BIS Papers 24: Foreign Exchange Market Intervention in Emerging Markets: Motives, Techniques and Implications (127-138). Basilea: Bank for International Settlements.

Domac, I. and Mendoza, A. (2004). “Is There Room for Foreign Exchange Interventions under an Inflation Targeting Framework? Evidence from Mexico and Turkey”. World Bank Policy Research Working Paper No. 3288. DOI: https://doi.org/10.1596/1813-9450-3288

Dornbusch, R. (1976). “Expectations and Exchange Rate Dynamics”. Journal of Political Economy, 84(6), 1161-1176. DOI: https://doi.org/10.1086/260506

Engle R. F. (2004). “Risk and Volatility: Econometric Models and Financial Practice”. The American Economic Review, 94(3), 405-420. DOI: https://doi.org/10.1257/0002828041464597

Fernandez, V. (2005). How sensitive is volatility to exchange rate regimes? In Arbelaez H. and Click R.W. (Eds.). Latin American Financial Markets: Developments in Financial Innovations (65-77). Amsterdam: Emerald Group Publishing Limited. DOI: https://doi.org/10.1016/S1569-3767(05)05005-3

Frankel, J. A., Galli, G. and Giovannini, A. (Eds.) (1996). The Microstructure of Foreign Exchange Markets Chicago. USA: The University of Chicago Press-NBER. DOI: https://doi.org/10.7208/chicago/9780226260235.001.0001

Frankel, J. A. and Rose, A. K. (1994). “A survey of empirical research on nominal exchange rates”. NBER Working Paper No. 4865. DOI: https://doi.org/10.3386/w4865

Hashimoto, Y. and Ito, T. (2011). “Market microstructure of the foreign exchange markets: Evidence from the electronic broking system”. En Gregoriou, G. N. and Pascalau, R. (Eds.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures (66-91). Basingstoke: Palgrave Macmillan. DOI: https://doi.org/10.1057/9780230298101_3

Hibbert, A. M., Daigler, R. T. and Dupoyet, B. (2008). “A behavioral explanation for the negative asymmetric return–volatility relation”. Journal of Banking and Finance, 32(10), 2254–2266. DOI: https://doi.org/10.1016/j.jbankfin.2007.12.046

Hull, J. C. (2006). Options, Futures and Other Derivatives. Sexta edición, Nueva Jersey, USA: Prentice Hall.

Kim, C. J., Piger, J. and Startz, R. (2008). “Estimation of Markov regime-switching regression models with endogenous switching”. Journal of Econometrics, 143(2), 263-273. DOI: https://doi.org/10.1016/j.jeconom.2007.10.002

Krugman, P. (2009). The Return of Depression Economics and the Crisis of 2008. Nueva York: W.W. Norton & Company.

Lyons, R. K. (2001). The Microstructure Approach to Exchange Rates. Cambridge, USA: MIT Press. DOI: https://doi.org/10.7551/mitpress/4602.001.0001

McKenzie, M. (2002). “The economics of exchange rate volatility asymmetry”. International Journal of Finance and Economics, 7(3), 247-260. DOI: https://doi.org/10.1002/ijfe.189

Martínez, C. and Ramírez, M. (2011). “Dynamic conditional correlation in Latin-American asset markets”. Universidad del Rosario-Facultad de Economía, Documentos de Trabajo No.107.

Maya, C. and Gómez, K. (2008). “What Exactly is 'Bad News' in Foreign Exchange Markets? Evidence from Latin American Markets”. Cuadernos de Economía, 45(132), 161-183.

Nelson, D. B. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach”. Econometrica, 59(2), 347-370. DOI: https://doi.org/10.2307/2938260

Rabemananjara, R. and Zakoian, J. M. (1993). “Threshold ARCH models and asymmetries in volatility”. Journal of Applied Econometrics, 8(1), 31-49. DOI: https://doi.org/10.1002/jae.3950080104

Ruiz, I. (2009). “Common volatility across Latin American foreign exchange markets”. Applied Financial Economics, 19(15), 1197-1211. DOI: https://doi.org/10.1080/09603100802481796

Sarno, L. and Taylor M. P. (2003). The Economics of Exchange Rates. Cambridge, Inglaterra: Cambridge University Press. DOI: https://doi.org/10.1017/CBO9780511754159

Vilela, F. and Holland, M. (2004). “Exchange rate dynamics in Brazil.” ANPEC (Asociación Brasileña de Programas de Posgrado en Economía), Anais do XXXII Encontro Nacional de Economia, (ANPEC, Ingá Niteroi), Trabalho 066

Vitale, P. (2007). “A Guided Tour of The Market Microstructure Approach to Exchange Rate Determination”. Journal of Economic Surveys, 21(5), 903-934. DOI: https://doi.org/10.1111/j.1467-6419.2007.00524.x

Wang, J. and Yang, M. (2009). “Asymmetric volatility in the foreign exchange markets”. Journal of International Financial Markets, Institutions and Money, 19(4), 597-615. DOI: https://doi.org/10.1016/j.intfin.2008.10.001

Zakoian, J. M. (1994). “Threshold heteroskedastic models”. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI: https://doi.org/10.1016/0165-1889(94)90039-6