[PDF] What Explains Movements In The Peso Dollar Exchange Rate eBook

Author : Mr.Yi Wu
Publisher : International Monetary Fund
Page : 22 pages
File Size : 42,87 MB
Release : 2013-07-18
Category : Business & Economics
ISBN : 1484393619

GET BOOK

This paper examines the factors affecting the weekly peso/dollar exchange rate movements between 1999 and 2013 using an error correction model. The model fits the historical data well. While copper price is the most important determinant of the peso exchange rate over the long run, other factors including interest rate differential, global financial distress, local pension funds’ derivative position, as well as the Federal Reserve’s quantitative easing also affect the peso in the short run. The Central Bank of Chile’s foreign exchange interventions in 2008 and 2011 had a small impact on the peso.

Author : Yi Wu
Publisher :
Page : 22 pages
File Size : 18,7 MB
Release : 2013
Category : Dollar, American
ISBN :

GET BOOK

"This paper examines the factors affecting the weekly peso/dollar exchange rate movements between 1999 and 2013 using an error correction model. The model fits the historical data well. While copper price is the most important determinant of the peso exchange rate over the long run, other factors including interest rate differential, global financial distress, local pension funds' derivative position, as well as the Federal Reserve's quantitative easing also affect the peso in the short run. The Central Bank of Chile's foreign exchange interventions in 2008 and 2011 had a small impact on the peso"--Abstract.

Author : Carlos Arteta
Publisher :
Page : 50 pages
File Size : 11,46 MB
Release : 2008
Category : Econometrics
ISBN :

GET BOOK

In the past decade, some observers have noted an unusual aspect of the Mexican peso's behavior: During periods when the U.S. dollar has risen (fallen) against other major currencies such as the euro, the peso has risen (fallen) against the dollar. Very few other currencies display this behavior. In this paper, we attempt to explain the unusual pattern of the peso's correlation with the dollar by developing some general empirical models of exchange rate correlations. Based on a study of 29 currencies, we find that most of the cross-country variation in exchange rate correlations with the dollar and the euro can be explained by just a few variables. First, a country's currency is more likely to rise against the dollar as the dollar rises against the euro, the closer it is to the United States and the farther it is from the euro area. In this result, distance likely proxies for the role of economic integration in affecting exchange rate correlations. Second, and perhaps more surprisingly, a country's currency is more likely to exhibit this unusual pattern when its sovereign credit rating is more risky. This may reflect that currencies of riskier countries are less substitutable in investor portfolios than those of better-rated countries. All told, these factors well explain the peso's unusual behavior, as Mexico both is very close to the United States and has a lower credit rating than most industrial economies.

Author : Mr.Paul R. Masson
Publisher : International Monetary Fund
Page : 36 pages
File Size : 45,37 MB
Release : 1996-01-01
Category : Business & Economics
ISBN : 1451929099

GET BOOK

This paper examines credibility and reputational factors in explaining the December 1994 crisis of the Mexican peso. After reviewing events leading to the crisis, a model emphasizing the inflation-competitiveness trade-off is presented to explain the formation of devaluation expectations. Estimation results indicate that investors appear to have seriously underestimated the risk of devaluation, despite early warning signals. The collapse of confidence that followed the December 20 devaluation may have been the result of a shift in the perceived commitment of the authorities to exchange rate stability.

Author : Ronald MacDonald
Publisher : Routledge
Page : 334 pages
File Size : 17,80 MB
Release : 2005
Category : Foreign exchange
ISBN : 1134838220

GET BOOK

''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""

Author : John F. Bilson
Publisher : University of Chicago Press
Page : 542 pages
File Size : 35,74 MB
Release : 2007-12-01
Category : Business & Economics
ISBN : 0226050998

GET BOOK

This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.

Author : Gustavo Abarca
Publisher :
Page : 37 pages
File Size : 23,21 MB
Release : 2019
Category :
ISBN :

GET BOOK

This paper examines two approaches characterized by different tail features to extract market expectations on the Mexican peso-US dollar exchange rate. Expectations are gauged by Risk-Neutral Densities (RNDs). The methods used to estimate these densities are the Volatility Function Technique (VFT) proposed by Malz (1997) and the Generalized Extreme Value (GEV) approach suggested by Figlewski (2009). We compare these methods in the context of monetary policy announcements in Mexico and the US. We find evidence that US surprises, which are measured following Kuttner (2001), have significant effects on exchange rate variations. Around event days in Mexico and the US, the results also indicate that, although both VFT and GEV suggest similar dynamics at the center of the distribution, these two methods show significantly different patterns in the tails. Our empirical evidence shows that the GEV captures better the extreme values of the distribution around monetary policy event days given its unique procedure that allows for longer asymptotically well-behaved tails. This explains the main differences.

Author : Jacob Frenkel
Publisher : Routledge
Page : 389 pages
File Size : 14,26 MB
Release : 2013-07-18
Category : Business & Economics
ISBN : 1135043493

GET BOOK

This book collects together the basic documents of an approach to the theory and policy of the balance of payments developed in the 1970s. The approach marked a return to the historical traditions of international monetary theory after some thirty years of departure from them – a departure occasioned by the international collapse of the 1930s, the Keynesian Revolution and a long period of war and post-war reconstruction in which the international monetary system was fragmented by exchange controls, currency inconvertibility and controls over international trade and capital movements.