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Identificación de episodios de dependencia no lineal en el peso mexicano

Author

Listed:
  • Semei Coronado Ramírez
  • Leonardo Gatica Arreola

Abstract

El siguiente documento identifica episodios de dependencia no-lineal en el tipo de cambio mexicano (peso mexicano/dólar norteamericano), entre enero de 1995 y septiembre de 2010. Para ello se utiliza la metodología Hinich Portmanteau, la cual utiliza una prueba de alta frecuencia para detectar episodios de dependencia no lineal, por medio de funciones ventana. Se proporciona una explicación de los sucesos económicos y políticos que pudieron haber provocado que el tipo de cambio tuviera un comportamiento no lineal. La detección de episodios no lineales puede ayudar a explicar la dificultad para pronosticar este tipo de series.

Suggested Citation

  • Semei Coronado Ramírez & Leonardo Gatica Arreola, 2011. "Identificación de episodios de dependencia no lineal en el peso mexicano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, December.
    • Handle: RePEc:col:000093:009215
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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/55/v30n55a05.pdf
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    Cited by:

    1. Semei Coronado-Ram'irez & Pedro Celso-Arellano & Omar Rojas, 2014. "Adaptive Market Efficiency of Agricultural Commodity Futures Contracts," Papers 1412.8017, arXiv.org, revised Mar 2015.

    More about this item

    Keywords

    tipo de cambio; no linealidad; bicorrelación; estadístico Hinich Portmanteau; México.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development

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