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Divisas. Evolución y análisis de tipos de cambio (1980-1995)

Author

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  • Fernandez, Pablo

    (IESE Business School)

  • Ariño, Miguel A.

    (IESE Business School)

Abstract

Este documento forma parte de un estudio sobre gestión del riesgo empresarial que se está realizando en el CIIF del IESE. En este documento de investigación se analiza la evolución de los tipos de cambios de algunas de las principales divisas respecto a la peseta. Los datos utilizados son de carácter mensual y corresponden al último día de cada mes del período comprendido entre enero de 1980 y diciembre de 1995. Las divisas objeto de estudio van a ser el dólar (Estados Unidos), el marco alemán (Alemania), la libra esterlina (Reino Unido), el yen (Japón), el ecu (Unión Europea) y el escudo (Portugal). El documento comienza mostrando la evolución de los tipos de cambio y analiza la autocorrelación de los mismos. El apartado 2 analiza la rentabilidad mensual de los tipos de cambio y se aborda la posible existencia de algún efecto más análogo al efecto enero de las bolsas. El apartado 3 es un análisis de la volatilidad de los tipos de cambio. El apartado 4 amplía el análisis de la autocorrelación del apartado 1. El apartado 5 analiza la normalidad de las rentabilidades mercado de las divisas. El apartado 6 presenta el coste anual histórico de la financiación en divisas de una empresa española. El apartado 7 discute la validez del precio forward como estimador del tipo de cambio futuro, y el apartado 8 hace lo propio con la paridad del poder de compra.

Suggested Citation

  • Fernandez, Pablo & Ariño, Miguel A., 1996. "Divisas. Evolución y análisis de tipos de cambio (1980-1995)," IESE Research Papers D/315, IESE Business School.
    • Handle: RePEc:ebg:iesewp:d-0315
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    Keywords

    Divisas; analisis tipos cambio;

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