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Problemas de asimetria para el analisis y la predictibilidad del tipo de cambio mexicano

Author

Listed:
  • Semei Coronado Ramirez

    (Universidad de Guadalajara)

  • Gerardo Leonardo Gatica Arreola

    (Universidad de Guadalajara)

Abstract

En este articulo se aplica el estadistico REVERSE, que es una prueba en el dominio de la frecuencia sobre reversibilidad temporal, basada en el biespectro, sobre el tipo de cambio mexicano. Los resultados concluyen que la serie es irreversible en el tiempo por lo que no cumple con la propiedad de que las innovaciones sean i.i.d. Esto implica que este tipo de series no pueden ser analizadas con modelos de la familia GARCH y que las decisiones de politica economica basadas en estos modelos pueden ser erroneas.

Suggested Citation

  • Semei Coronado Ramirez & Gerardo Leonardo Gatica Arreola, 2013. "Problemas de asimetria para el analisis y la predictibilidad del tipo de cambio mexicano," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 10(1), pages 77-89, Enero-Jun.
    • Handle: RePEc:qua:journl:v:10:y:2013:i:1:p:77-89
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    More about this item

    Keywords

    Irreversibilidad temporal; biespectro; asimetria; tipo de cambio mexicano;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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