The certainty of the term arbitrage opportunities will depend on the robustness of the exchange rate forecasts. The latter point brings an interesting discussion: Either exchange rates are given at random or by irrational movements given that operators are involved in efficient markets or, investors make rational decisions that allow them to take advantage of arbitrage opportunities. Although in the practice, it is a fact difficult to achieve due to arbitrage operations (Eun and Resnick, 2007). One of these models assumes efficient markets, and then equilibrium is always achieved. Economic literature precisely documents the existence of five theories that explain the determinants of exchange rate. So, for more than a century, economists have tried to establish and then model the factors that determine the exchange rate. The literature shows studies that begin to explain, not only the composition of the current exchange rates, but to find those elements that determine their value over time. Even speculative positions, protectionist or arbitrage of investors have to take into account the behavior of exchange rates. That is why it is frequent that corporate decisions are increasingly adopting exchange rate forecasting techniques. Since the FOREX market liberalization and the adoption of the system of flexible exchange rate, in 1973, exchange rates have become increasingly erratic and volatile. Therefore, it is a very profitable market. More recent data show that the daily volume of trade hits 9 trillion dollars, which exceeded by more than one hundred times the daily average value of Wall Street shares. The FOREX market is the most important financial market in the world, its daily trading volume of negotiation impacts on the behavior of other financial markets or those of goods and services. Palabras clave: pronóstico del tipo de cambio, mercado de divisas, valuación de activos, prima de riesgo. Los resultados muestran que tras incorporar una medida precisa de riesgo se aumenta sustancialmente la predictibilidad del tipo de cambio en el mediano plazo. Los modelos del tipo de cambio a plazo basados en la valuación de activos sugieren que la inclusión del riesgo al tipo de cambio spot aumenta el grado de predictibilidad. Recientes hallazgos sugieren que el mercado de divisas incorpora gradualmente la información relevante favoreciendo la conformación de precios de manera racional y no aleatoria. Las propuestas de Keynes (1930) y Samuelson (1965) abren la posibilidad de compatibilizar eficiencia con predictibilidad según se deduce del estudio seminal de Fisher (1930). Keywords: exchange rate forecast, forex market, asset valuation, risk premium. The results show that after incorporating an accurate measure of risk, predictability of medium term foreign exchange rate increases. Models of exchange rate by term based on asset valuation suggest that the inclusion of risk in the spot rate increases the degree of predictability. Recent findings suggest that the foreign exchange market gradually incorporates relevant information allowing the formation of prices in a rational manner but not randomly. Keynes (1930) and Samuelson (1965) proposals open the possibility of matching predictability and efficiency, as evidenced by the seminal study by Fisher (1930). campus Aguascalientes Universidad ESAN, Perú de recepción: Rubén Mosqueda Almanza *, Jorge Guillén ** Modelo de pronóstico del tipo de cambio a mediano plazo en una economía abierta. A model of medium term exchange rate forecast in an open economy.
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