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Estimación de modelos de “nueva información”: aplicación a los mercados de cambio en períodos de menor y/o mayor espectación



    (Departamento de Economía Aplicada. Facultad de Ciencias Empresariales. Universidad de Vigo.)

El objetivo del presente trabajo es contrastar si las variaciones no anticipadas de las variables económicas fundamentales y no fundamentales pueden explicar las variaciones en los tipos de cambio, y si esta premisa es igualmente válida en períodos estándar y en períodos de especulación elevada. Para ello, partiendo del Modelo Básico de Frenkel (1981), la aplicación empírica realiza el análisis de la evolución del mercado de cambio de la peseta española frente al dólar estadounidense desde la incorporación de España en la Comunidad Europea en 1.986 hasta el año 1.993 bajo un planteamiento de innovación de la información, prestando especial atención a la segunda mitad del año 1992, cuando se inició un período de inestabilidad que constituye, sin duda, la crisis más grave del SME desde su constitución en marzo de 1.979. Se consideran noticias sobre el tipo de interés nominal, el nivel de reservas y la volatilidad realizada en el propio mercado. Cabe matizar que, el propósito último no es el encontrar una especifiación “correcta” del comportamiento de los mercados de cambio, sino determinar la importancia relativa de los factores fundamentales y no fundamentales en su determinación. Las estimaciones muestran un efecto parcial de la nueva información respecto a dichas variables sobre las fluctuaciones del mercado de cambio y donde las particularidades son asociadas a períodos de menor y/o mayor especulación. Los resultados de esta investigación reportan especial interés para todas las instituciones que operan en el ámbito internacional bajo un sistema de tipos de cambio flexibles, en las que la gestión del riesgo de cambio constituye una de sus principales preocupaciones. The aim of this paper is to determine the relative importance of fundamental and non fundamental factorsin determining the behaviour of the exchange markets, and whether this premise is equally valid for standard periods and periods of high speculation. On the basis of Frenkel’s (1981) basic model, this empirical application analyses the changes in the exchange market for the Spanish peseta against the US dollar from the accession of Spain to membership of the European Community in 1986 to 1993, under an approach based on innovation in information. Special attention is paid to the second half of 1992, when a period of instability began which marked what was certainly the most serious crisis in the EMS since its set-up in March 1979. News stories on nominal interest rates, reserve levels and market volatility are considered. Estimates show a partial effect of new information concerning the said variables on fluctuations in the exchange market where macroeconomics variables are associated with periods of lesser speculation. The results of this research are of particular interest to all those institutions which operate on the international stage under a system of flexible exchange rates in which exchange risk management is a leading concern.

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Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 21 (2003)
Issue (Month): (Abril)
Pages: 5-26

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Handle: RePEc:lrk:eeaart:21_1_8
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