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Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol

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  • Lock, Eduardo
  • Winkelried, Diego

Abstract

Este documento investiga la relación que existe entre el tipo de cambio y los flujos de órdenes en el mercado cambiario, utilizando una base de datos de alta frecuencia inédita para el caso peruano. Para ello, descomponemos el exceso de retorno del dólar (la depreciación ajustada por el diferencial de tasas de interés) en choques sobre su valor intrínseco (largo plazo) y choques de expectativas (corto plazo). Verificamos una correlación de entre 20% y 30% entre el exceso de retorno y los flujos de órdenes, así como comovimientos entre estos flujos y los retornos esperados futuros, tanto en el corto como en el largo plazo. Estas relaciones se sustentarían en que los flujos de órdenes agregan y transmiten información relevante acerca del estado de la economía. En particular, covarían con movimientos contemporáneos y futuros del diferencial de tasas de interés.

Suggested Citation

  • Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
  • Handle: RePEc:rbp:esteco:ree-29-03
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    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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