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¿Es estable la relación entre tipo de cambio y posiciones netas de los especuladores en monedas de economías desarrolladas? Evidencia del Chicago Mercantile Exchange

Author

Listed:
  • Leonardo Egidio Torre Cepeda

    (Facultad de Economía de la UANL.)

  • María Elena Lavín Morales

    (Supermercados Internacionales h-e-b.)

Abstract

Este trabajo analiza si la relación entre los cambios en las posiciones netas de los especuladores de monedas de cinco economías desarrolladas en el Chicago Mercantile Exchange y los cambios porcentuales semanales en los tipos de cambio con respecto al dólar estadounidense de dichas monedas es estable en el tiempo, o bien depende, en alguna medida, del tamaño del mercado para los contratos de futuros de dichas monedas. Los resultados sugieren que no puede rechazarse la hipótesis de que el crecimiento del mercado incide sobre la sensibilidad del tipo de cambio ante una variación en las posiciones netas de los especuladores.

Suggested Citation

  • Leonardo Egidio Torre Cepeda & María Elena Lavín Morales, 2007. "¿Es estable la relación entre tipo de cambio y posiciones netas de los especuladores en monedas de economías desarrolladas? Evidencia del Chicago Mercantile Exchange," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 27(2), pages 65-94, Julio-Dic.
    • Handle: RePEc:ety:journl:v:27:y:20:i:2:p:65-94
    DOI: 10.24275/ETYPUAM/NE/272007/Torre
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    More about this item

    Keywords

    tipo de cambio; posiciones netas de especuladores; enfoque de microestructura; flujo de órdenes; mercado de futuros.;
    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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