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Evendencia empírica de la eficiencia del mercado de tipos de cambio por adelantado en México

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  • Sergio Omar Garduño Ríos

    (Instituto Mexicano del Seguro Social)

Abstract

This paper analyzes the short term exchange rate coverage market in Mexico. The results demonstrate inefficiencies in this market due to the fact that the implicit forward exchange rate violates the Unbiased Eficiency Hypotesis (UEH). Nonstationarity and co integration are considered in the context of time series models, following Engle & Granger (1987) and Johansen & Juselius (1990) methodologies. The Error Corrections Model (ECM) and statistical tests of restrictions are used in co integration vectors to test for the UEH. The paper concludes with a discussion of possible explanatory factors for the results, as well as future research implied by the findings.

Suggested Citation

  • Sergio Omar Garduño Ríos, 1996. "Evendencia empírica de la eficiencia del mercado de tipos de cambio por adelantado en México," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 11(2), pages 181-209.
    • Handle: RePEc:emx:esteco:v:11:y:1996:i:2:p:181-209
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    File URL: https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/256/258
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