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The Mexican Peso: Exchange Risk Coverage Management through the Forgotten Effects Theory

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  • Salazar-Garza, Ricardo

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    (Universidad de Monterrey)

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    Abstract

    El presente trabajo desarrolla un modelo no lineal de predicción del comportamiento del tipo de cambio a futuro basado en la opinión de los agentes económicos participantes en el mercado dólar/peso. Tales opiniones son tratadas mediante la Lógica Borrosa y una variante de ésta, conocida como la Teoría de los Efectos Olvidados.La finalidad es encontrar un mecanismo de toma de decisiones de cobertura que nos permita una administración de riesgo de tipo de cambio óptima a un menor costo que aquel que conlleva realizar operaciones con los instrumentos de cobertura tradicional. Para el periodo investigado y mediante este modelo, los resultados sustentan que las opiniones conjuntas de los expertos económicos involucrados en la toma de decisiones de administración de riesgo de tipo de cambio brindan mejores resultados que aquellos que utilizan métodos tradicionales en los mercados de futuros.

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    File URL: http://www.esan.edu.pe/publicaciones/2012/05/23/journal32_salazar.pdf
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    Bibliographic Info

    Article provided by Universidad ESAN in its journal Journal of Economics, Finance and Administrative Science.

    Volume (Year): 17 (2012)
    Issue (Month): 32 ()
    Pages: 53-73

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    Handle: RePEc:ris:joefas:0042

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    Keywords: Tipo de cambio; Lógica Borrosa; expertos en Mercado de Futuros; Efectos Olvidados; Expertones.;

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    1. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    2. Evans, Martin D. & Lyons, Richard K., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance, Working Paper Series qt0dh1c16w, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
    3. Goldberg, Linda & Tenorio, Rafael, 1997. "Strategic trading in a two-sided foreign exchange auction1," Journal of International Economics, Elsevier, vol. 42(3-4), pages 299-326, May.
    4. Gunther Tichy, 2002. "Over-optimism Among Experts in Assessment and Foresight," ITA manu:scripts 02_05, Institute of Technology Assessment (ITA).
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