LOS FUNDAMENTALES, LAS POSICIONES NETAS DE LOS ESPECULADORES Y EL TIPO DE CAMBIO EN BRASIL
Copyright policy )LOS FUNDAMENTALES, LAS POSICIONES NETAS DE LOS ESPECULADORES Y EL TIPO DE CAMBIO EN BRASIL
RESUMENEn el presente artículo analizamos el papel de los fundamentales y de las posiciones netas de los especuladores en la determinación del tipo de cambio de Brasil en el periodo abril 2002-agosto 2012. Con base en un modelo svar cointegrado, encontramos evidencia empírica que sustenta nuestra hipótesis de que el enfoque microeconómico (Evans y Lyons, 2002) y el modelo monetario (Bilson, 1978) de la determinación del tipo de cambio son consistentes. A diferencia de otros estudios empíricos, nuestro análisis demuestra que las posiciones netas de los especuladores y los fundamentales constituyen dos canales (de liquidez y de información) que contribuyen a explicar la dinámica del tipo de cambio de la moneda brasileña en el corto y en el largo plazo.AbstractThis paper analyzes the role of fundamentals and the net positions of speculators in determining the Brazilian exchange rate from April 2002 to August 2012. Based on a cointegrated svar model, we found empirical evidence to support our hypothesis that the microeconomic approach (Evans and Lyons, 2002) and the monetary model (Bilson, 1978) to determine the exchange rate are consistent with one another. Unlike in other empirical studies, our analysis demonstrates that the net positions of speculators and economic fundamentals constitute two channels (one liquidity-related, the other information-related) that can contribute to explaining the dynamics of the Brazilian exchange rate in the short and long term.
especuladores, Economics and Econometrics, tipo de cambio, modelos monetarios, Economic growth, development, planning, Exchange rate, Development, 货币模型、, co-intégration, taux de change, svar, 投机者, speculators, cointegration, SVAR, spéculateurs, modèles monétaires, co-integração, Tipo de cambio, SVAR、, monetary models, 汇率、, 协整性、, taxa de cambio, Economía y Finanzas, HD72-88, cointegración, modelos monetários
especuladores, Economics and Econometrics, tipo de cambio, modelos monetarios, Economic growth, development, planning, Exchange rate, Development, 货币模型、, co-intégration, taux de change, svar, 投机者, speculators, cointegration, SVAR, spéculateurs, modèles monétaires, co-integração, Tipo de cambio, SVAR、, monetary models, 汇率、, 协整性、, taxa de cambio, Economía y Finanzas, HD72-88, cointegración, modelos monetários
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