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

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Author Info

  • Leonardo Egidio Torre Cepeda

    ()
    (Facultad de Economía de la UANL)

  • Olga Provorova Panteleyeva

    ()
    (Área de Precios de Transferencia de Baker & McKenzie)

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    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.

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    File URL: http://www.economiamexicana.cide.edu/num_anteriores/XVI-1/01_TORRE_Y_PROVOROVA.pdf
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    Bibliographic Info

    Article provided by in its journal Economia Mexicana NUEVA EPOCA.

    Volume (Year): XVI (2007)
    Issue (Month): 1 (January-June)
    Pages: 5-46

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    Handle: RePEc:emc:ecomex:v:16:y:2007:i:1:p:5-46

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    Related research

    Keywords: exchange rate; net positions of speculators; microstructure approach; order flows; futures market;

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