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Los rendimientos cambiarios latinoamericanos y la (a)simetría de los shocks informacionales: un análisis econométrico

Author

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  • Arturo Lorenzo Valdés
  • Antonio Ruiz Porras

Abstract

Esta investigación presenta un estudio comparativo de los rendimientos cambiarios latinoamericanos, en el que se usó la metodología de cointegración de Johansen y los modelos asimétricos TGARCH y EGARCH. Los resultados indican que las volatilidades de los rendimientos de Argentina, Brasil, Chile y Colombia no presentan efectos asimétricos. En México y Perú las malas noticias reducen la volatilidad de los rendimientos cambiarios; además, los resultados sugieren que los rendimientos de Argentina, Brasil, Chile y Perú se describen mediante el modelo AR(1)-TGARCH(1,1); mientras que los rendimientos de Colombia y México lo hacen a través del AR(1)-EGARCH(1,1). Finalmente, se usaron rendimientos diarios para el periodo comprendido entre el 2 de enero de 2002 y el 27 de septiembre de 2011.Clasificación JEL: F31, G15, C58.

Suggested Citation

  • Arturo Lorenzo Valdés & Antonio Ruiz Porras, 2012. "Los rendimientos cambiarios latinoamericanos y la (a)simetría de los shocks informacionales: un análisis econométrico," Ensayos Revista de Economía, Universidad Autónoma de Nuevo León, vol. 31(2), pages 87-113, November.
    • Handle: RePEc:ere:journl:v:31:y:2012:i:2:id:68
    DOI: 10.29105/ensayos31.2-4
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    Keywords

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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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