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Tipo de cambio, posiciones netas de los especuladores y el tamaño del mercado de futuros del peso mexicano

Author

Listed:
  • Leonardo Egidio Torre Cepeda

    () (Facultad de Economía de la UANL)

  • Olga Provorova Panteleyeva

    () (Área de Precios de Transferencia de Baker & McKenzie)

Abstract

The paper analyzes the relationship between the Mexican peso/ USD exchange rate and the net positions of speculators in the peso futures market at the Chicago Mercantile Exchange within the microstructure approach to exchange rate determination. For the period January 5th, 1999-November 1st, 2005, it is shown that the relationship has not been constant due to the fast growth in the peso futures market. This impliesthat any effort to forecast the peso/USD exchange rate exploiting this relationship must consider this fact.

Suggested Citation

  • Leonardo Egidio Torre Cepeda & Olga Provorova Panteleyeva, 2007. "Tipo de cambio, posiciones netas de los especuladores y el tamaño del mercado de futuros del peso mexicano," Economía Mexicana NUEVA ÉPOCA, , vol. 0(1), pages 5-46, January-J.
  • Handle: RePEc:emc:ecomex:v:16:y:2007:i:1:p:5-46
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    File URL: http://www.economiamexicana.cide.edu/num_anteriores/XVI-1/01_TORRE_Y_PROVOROVA.pdf
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    References listed on IDEAS

    as
    1. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, pages 473-500.
    2. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    3. Pami Dua & Anirvan Banerji, 2000. "An Index of Coincident Economic Indicators for the Indian Economy," Working papers 73, Centre for Development Economics, Delhi School of Economics.
    4. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
    5. Robert H. McGuckin & Ataman Ozyildirim & Victor Zarnowitz, 2000. "The Composite Index of Leading Economic Indicators: How to Make it More Timely," Economics Program Working Papers 00-04, The Conference Board, Economics Program.
    6. Hamilton, James D & Perez-Quiros, Gabriel, 1996. "What Do the Leading Indicators Lead?," The Journal of Business, University of Chicago Press, vol. 69(1), pages 27-49, January.
    7. Alejandro Simone, 2001. "In Search of Coincident and Leading Indicators of Economic Activity in Argentina," IMF Working Papers 01/30, International Monetary Fund.
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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    exchange rate; net positions of speculators; microstructure approach; order flows; futures market;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F39 - International Economics - - International Finance - - - Other

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