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Tipo de cambio, posiciones netas de los especuladores y el tamaño del mercado de futuros del peso mexicano

Author

Listed:
  • Leonardo Egidio Torre Cepeda

    (Facultad de Economía de la UANL)

  • Olga Provorova Panteleyeva

    (Área de Precios de Transferencia de Baker & McKenzie)

Abstract

The paper analyzes the relationship between the Mexican peso/ USD exchange rate and the net positions of speculators in the peso futures market at the Chicago Mercantile Exchange within the microstructure approach to exchange rate determination. For the period January 5th, 1999-November 1st, 2005, it is shown that the relationship has not been constant due to the fast growth in the peso futures market. This impliesthat any effort to forecast the peso/USD exchange rate exploiting this relationship must consider this fact.

Suggested Citation

  • Leonardo Egidio Torre Cepeda & Olga Provorova Panteleyeva, 2007. "Tipo de cambio, posiciones netas de los especuladores y el tamaño del mercado de futuros del peso mexicano," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, vol. 0(1), pages 5-46, January-J.
    • Handle: RePEc:emc:ecomex:v:16:y:2007:i:1:p:5-46
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    File URL: http://www.economiamexicana.cide.edu/num_anteriores/XVI-1/01_TORRE_Y_PROVOROVA.pdf
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    Citations

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    Cited by:

    1. Pamela Cardozo & Fredy Gamboa-Estrada & Jesahel Higuera-Barajas, 2019. "El rol del sector real en el mercado de derivados y su impacto sobre la tasa de cambio," Borradores de Economia 1079, Banco de la Republica de Colombia.
    2. Fredy Gamboa-Estrada, 2023. "The Role of Foreign Investors and Local Agents in the Derivatives Market and their Impact on the Exchange Rate in Colombia: A Wavelet Analysis," IHEID Working Papers 12-2023, Economics Section, The Graduate Institute of International Studies.

    More about this item

    Keywords

    exchange rate; net positions of speculators; microstructure approach; order flows; futures market;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F39 - International Economics - - International Finance - - - Other

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