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Los Determinantes de la Inversión Extranjera de Cartera en México: Un Análisis de Corte Estructural, The determinants of foreign portfolio investment in Mexico

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  • Alejandro Diaz-Bautista

    (COLEF)

  • Mario Alberto Rosas Chimal

    (COLEF)

Abstract

Sumario El estudio utiliza las herramientas de series tiempo como las pruebas de raíz unitaria y corte estructural para analizar las series de los determinantes de la Inversión Extranjera de Cartera (IEC) y la misma IEC. Varias series fueron consideradas para el análisis de la IEC, entre los cuales se encuentran los cambios en el stock monetario, la Inversión Extranjera en el Mercado de dinero, la Inversión Extranjera total, la Inversión Extranjera en el mercado de renta variable, el Índice de Precios y Cotizaciones de la BMV, el precio utilidad esperada de los instrumentos del mercado de renta variable, la calificación riesgo país, el tipo de cambio nominal a 30 días, la Volatilidad del IPC de la BMV, la tasa de interés mexicana y la tasa de referencia externa. Entre las series consideradas, diez de las series presentan una tendencia de corte estructural. De igual forma se describen la historia y los antecedentes de la IEC en México. La evidencia empírica muestra que los determinantes de la inversión extranjera total y la inversión extranjera de cartera tienen una relación de largo plazo. Abstract The determinants of foreign portfolio investment in Mexico are studied, as well as the structural measures that have favored the stabilization of the economy. As the starting point, the authors review the literature with some theoretical models of the determinants of capital flows with structural breaks, and present the results of the empirical evidence of foreign portfolio investment in Mexico.

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File URL: http://128.118.178.162/eps/if/papers/0511/0511003.pdf
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Bibliographic Info

Paper provided by EconWPA in its series International Finance with number 0511003.

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Length: 25 pages
Date of creation: 18 Nov 2005
Date of revision:
Handle: RePEc:wpa:wuwpif:0511003

Note: Type of Document - pdf; pages: 25. Díaz-Bautista es economista del ITAM. Obtuvo el Doctorado y la Maestría en Economía en la Universidad de California, Irvine. Desde 1999 imparte cursos en el Colegio de la Frontera Norte y en la Universidad Iberoamericana del Noroeste, y desde 1995 fue profesor de Economía en la Universidad de California. Ha impartido conferencias en Estados Unidos, Canadá, Europa, Asia, Australia y en México, al igual que ha dedicado muchos años a la investigación en el campo de la Economía Internacional, Organización Industrial, y Crecimiento Económico. http://www.geocities.com/adiazbau/
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Web page: http://128.118.178.162

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Keywords: Foreign portfolio investment; FDI; Structural break; Mexico.;

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