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The Mexican Peso: Exchange Risk Coverage Management through the Forgotten Effects Theory

Author

Listed:
  • Salazar-Garza, Ricardo

    () (Universidad de Monterrey)

Abstract

El presente trabajo desarrolla un modelo no lineal de predicción del comportamiento del tipo de cambio a futuro basado en la opinión de los agentes económicos participantes en el mercado dólar/peso. Tales opiniones son tratadas mediante la Lógica Borrosa y una variante de ésta, conocida como la Teoría de los Efectos Olvidados.La finalidad es encontrar un mecanismo de toma de decisiones de cobertura que nos permita una administración de riesgo de tipo de cambio óptima a un menor costo que aquel que conlleva realizar operaciones con los instrumentos de cobertura tradicional. Para el periodo investigado y mediante este modelo, los resultados sustentan que las opiniones conjuntas de los expertos económicos involucrados en la toma de decisiones de administración de riesgo de tipo de cambio brindan mejores resultados que aquellos que utilizan métodos tradicionales en los mercados de futuros.

Suggested Citation

  • Salazar-Garza, Ricardo, 2012. "The Mexican Peso: Exchange Risk Coverage Management through the Forgotten Effects Theory," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 17(32), pages 53-73.
  • Handle: RePEc:ris:joefas:0042
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    References listed on IDEAS

    as
    1. Martin D.D. Evans & Richard K. Lyons, 2017. "Order Flow and Exchange Rate Dynamics," World Scientific Book Chapters,in: Studies in Foreign Exchange Economics, chapter 6, pages 247-290 World Scientific Publishing Co. Pte. Ltd..
    2. Goldberg, Linda & Tenorio, Rafael, 1997. "Strategic trading in a two-sided foreign exchange auction1," Journal of International Economics, Elsevier, vol. 42(3-4), pages 299-326, May.
    3. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    4. Gunther Tichy, 2002. "Over-optimism Among Experts in Assessment and Foresight," ITA manu:scripts 02_05, Institute of Technology Assessment (ITA).
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