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Divisas. Evolución y análisis de tipos de cambio (1980-1995)

Listed author(s):
  • Fernandez, Pablo


    (IESE Business School)

  • Ariño, Miguel A.


    (IESE Business School)

Este documento forma parte de un estudio sobre gestión del riesgo empresarial que se está realizando en el CIIF del IESE. En este documento de investigación se analiza la evolución de los tipos de cambios de algunas de las principales divisas respecto a la peseta. Los datos utilizados son de carácter mensual y corresponden al último día de cada mes del período comprendido entre enero de 1980 y diciembre de 1995. Las divisas objeto de estudio van a ser el dólar (Estados Unidos), el marco alemán (Alemania), la libra esterlina (Reino Unido), el yen (Japón), el ecu (Unión Europea) y el escudo (Portugal). El documento comienza mostrando la evolución de los tipos de cambio y analiza la autocorrelación de los mismos. El apartado 2 analiza la rentabilidad mensual de los tipos de cambio y se aborda la posible existencia de algún efecto más análogo al efecto enero de las bolsas. El apartado 3 es un análisis de la volatilidad de los tipos de cambio. El apartado 4 amplía el análisis de la autocorrelación del apartado 1. El apartado 5 analiza la normalidad de las rentabilidades mercado de las divisas. El apartado 6 presenta el coste anual histórico de la financiación en divisas de una empresa española. El apartado 7 discute la validez del precio forward como estimador del tipo de cambio futuro, y el apartado 8 hace lo propio con la paridad del poder de compra.

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Paper provided by IESE Business School in its series IESE Research Papers with number D/315.

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Length: 41 pages
Date of creation: 13 May 1996
Handle: RePEc:ebg:iesewp:d-0315
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IESE Business School, Av Pearson 21, 08034 Barcelona, SPAIN

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  1. Taehoon Kang & B. Wade Brorsen, 1995. "Conditional heteroskedasticity, asymmetry, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(8), pages 901-928, December.
  2. Scott, Elton & Tucker, Alan L., 1989. "Predicting currency return volatility," Journal of Banking & Finance, Elsevier, vol. 13(6), pages 839-851, December.
  3. Chesney, Marc & Scott, Louis, 1989. "Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(03), pages 267-284, September.
  4. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
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