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Identificación de episodios de dependencia no lineal en el peso mexicano

Listed author(s):
  • Semei Coronado Ramírez


  • Leonardo Gatica Arreola


Registered author(s):

    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.

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    Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

    Volume (Year): (2011)
    Issue (Month): (December)

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    Handle: RePEc:col:000093:009215
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