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

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Author Info

  • Arturo Lorenzo-Valdés

    ()
    (Departamento de Contabilidad y Finanzas. Tecnológico de Monterrey, Campus Ciudad de México. México, Distrito Federal. México.)

  • Antonio Ruiz-Porras

    ()
    (Departamento de Métodos Cuantitativos. Universidad de Guadalajara. Zapopan, Jalisco. México.)

Abstract

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.

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Bibliographic Info

Article provided by Universidad Autonoma de Nuevo Leon, Facultad de Economia in its journal Ensayos Revista de Economia.

Volume (Year): XXXI (2012)
Issue (Month): 2 (November)
Pages: 87-113

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Handle: RePEc:ere:journl:v:xxxi:y:2012:i:2:p:87-113

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Related research

Keywords: Rendimientos cambiarios; Latinoamérica; TGARCH; EGARCH; Cointegración;

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References

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