Mercados cambiarios y tipos de cambio de Asia y Latinoamérica: sincronización de largo plazo, cambios estructurales y choques estocásticos // Change Markets and Exchange Rates of Asia and Latin America: Long-Term Synchronization, Structural Changes and Stochastic Shocks

Autores/as

  • Antonio Ruiz Porras Universidad de Guadalajara, CUCEA
  • Luis Enrique Fregoso Becerra Universidad de Guadalajara, CUCEA

Palabras clave:

tipos de cambio, Asia, Latinoamérica, cointegración, cambio estructural endógeno, impulso-respuesta, exchange rates, Latin America, cointegration, endogenous structural change, impulse-response

Resumen

Se estudian econométricamente los mercados cambiarios y los tipos de cambio de Asia y Latinoamérica. Se utilizan análisis de cambio estructural endógeno y de cointegración y funciones de impulso-respuesta. Los hallazgos indican que: 1) la sincronización de largo plazo de los mercados cambiarios es baja; 2) no hay evidencia de sincronización en los mercados asiáticos; 3) un choque estocástico en un país latinoamericano tiene efectos de mayor magnitud y duración que un choque similar en un país asiático; y 4) no hay evidencia de que la Crisis Financiera Global haya inducido cambios estructurales en las dinámicas de los tipos de cambio.  Se usan los tipos de cambio spot diarios de Argentina, Brasil, Chile, China, Colombia, Corea del Sur, India, Malasia, México y Tailandia, para el periodo del 5 de agosto de 2002 al 22 de enero de 2016.

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The exchange markets and the exchange rates of Asia and Latin America are studied econometrically. Endogenous structural change and cointegration analyzes and impulse-response functions are used. The findings indicate that: 1) the long-term timing of the exchange markets is low; 2) there is no evidence of synchronization in Asian markets; 3) a stochastic shock in a Latin American country has effects of greater magnitude and duration than a similar shock in an Asian country; and 4) there is no evidence that the Global Financial Crisis has induced structural changes in the dynamics of exchange rates. The daily spot exchange rates of Argentina, Brazil, Chile, China, Colombia, South Korea, India, Malaysia, Mexico and Thailand are used for the period from August 5, 2002 to January 22, 2016.

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Biografía del autor/a

Antonio Ruiz Porras, Universidad de Guadalajara, CUCEA

Profesor-Investigador del Departamento de Métodos Cuantitativos

Citas

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Publicado

2018-06-30

Cómo citar

Ruiz Porras, A., & Fregoso Becerra, L. E. (2018). Mercados cambiarios y tipos de cambio de Asia y Latinoamérica: sincronización de largo plazo, cambios estructurales y choques estocásticos // Change Markets and Exchange Rates of Asia and Latin America: Long-Term Synchronization, Structural Changes and Stochastic Shocks. Revista De Métodos Cuantitativos Para La Economía Y La Empresa, 25, Páginas 295 a 317. Recuperado a partir de https://www.upo.es/revistas/index.php/RevMetCuant/article/view/2375

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