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

Author

Listed:
  • Arturo Lorenzo-Valdés

    () (Departamento de Contabilidad y Finanzas. Tecnológico de Monterrey, Campus Ciudad de México. México, Distrito Federal. México.)

  • Antonio Ruiz-Porras

    () (Departamento de Métodos Cuantitativos. Universidad de Guadalajara. Zapopan, Jalisco. México.)

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.

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 Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 87-113, November.
  • Handle: RePEc:ere:journl:v:xxxi:y:2012:i:2:p:87-113
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Rendimientos cambiarios; Latinoamérica; TGARCH; EGARCH; Cointegración;

    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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