A model of medium term exchange rate forecast in an open economy: the case of the mexican peso

Descripción del Articulo

Keynes (1930) and Samuelson (1965) proposals open the possibility of matching predictability and efficiency, as evidenced by the seminal study by Fisher (1930). Recent findings suggest that the foreign exchange market gradually incorporates relevant information allowing the formation of prices in a...

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Detalles Bibliográficos
Autores: Mosqueda Almanza, Rubén, Guillén, Jorge
Formato: artículo
Fecha de Publicación:2014
Institución:Universidad ESAN
Repositorio:ESAN-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.esan.edu.pe:20.500.12640/3310
Enlace del recurso:https://hdl.handle.net/20.500.12640/3310
Nivel de acceso:acceso abierto
Materia:Exchange rate forecast
Forex market
Asset valuation
Risk premium
Pronóstico del tipo de cambio
Mercado de divisas
Valuación de activos
Prima de riesgo
https://purl.org/pe-repo/ocde/ford#5.02.04
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spelling Mosqueda Almanza, RubénGuillén, Jorge2023-01-23T02:17:25Z2023-01-23T02:17:25Z2014Mosqueda Almanza, R., & Guillén, J. (2014). A model of medium term exchange rate forecast in an open economy: the case of the mexican peso. Contaduría y Administración, 59(2), 197-225. https://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S0186-10422014000200009https://hdl.handle.net/20.500.12640/3310Keynes (1930) and Samuelson (1965) proposals open the possibility of matching predictability and efficiency, as evidenced by the seminal study by Fisher (1930). Recent findings suggest that the foreign exchange market gradually incorporates relevant information allowing the formation of prices in a rational manner but not randomly. 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. The results show that after incorporating an accurate measure of risk, predictability of medium term foreign exchange rate increases.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). Recientes hallazgos sugieren que el mercado de divisas incorpora gradualmente la información relevante favoreciendo la conformación de precios de manera racional y no aleatoria. 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. Los resultados muestran que tras incorporar una medida precisa de riesgo se aumenta sustancialmente la predictibilidad del tipo de cambio en el mediano plazo.application/pdfInglésengUniversidad Nacional Autónoma de MéxicoMXurn:issn:0186-1042urn:issn:2448-8410https://www.scielo.org.mx/pdf/cya/v59n2/v59n2a9.pdfinfo:eu-repo/semantics/openAccessAttribution 4.0 Internationalhttps://creativecommons.org/licenses/by/4.0/Exchange rate forecastForex marketAsset valuationRisk premiumPronóstico del tipo de cambioMercado de divisasValuación de activosPrima de riesgohttps://purl.org/pe-repo/ocde/ford#5.02.04A model of medium term exchange rate forecast in an open economy: the case of the mexican pesoinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArtículoreponame:ESAN-Institucionalinstname:Universidad ESANinstacron:ESANhttps://orcid.org/0000-0002-4511-2108Acceso abiertoContaduría y Administración225219759ORIGINALguillen_2014.pdfguillen_2014.pdfTexto completoapplication/pdf1333051https://repositorio.esan.edu.pe/bitstreams/69d9ec45-1006-411c-83f9-d9368c5b3a2c/download9e804e3738c9c311b0538c705ac79641MD51trueAnonymousREADTHUMBNAILguillen_2014.pdf.jpgguillen_2014.pdf.jpgGenerated Thumbnailimage/jpeg3848https://repositorio.esan.edu.pe/bitstreams/5968e244-b55d-4996-9c83-110310ab5464/downloadc6cb382f29aebf42be1b0c5dfa640c70MD55falseAnonymousREADTEXTguillen_2014.pdf.txtguillen_2014.pdf.txtExtracted texttext/plain53322https://repositorio.esan.edu.pe/bitstreams/632f106d-2d83-441e-9211-98430514a671/downloadf12409b099a9b4c43ac49c2177eb9502MD54falseAnonymousREAD20.500.12640/3310oai:repositorio.esan.edu.pe:20.500.12640/33102024-11-25 19:41:27.355https://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessopen.accesshttps://repositorio.esan.edu.peRepositorio Institucional ESANrepositorio@esan.edu.pe
dc.title.en_EN.fl_str_mv A model of medium term exchange rate forecast in an open economy: the case of the mexican peso
title A model of medium term exchange rate forecast in an open economy: the case of the mexican peso
spellingShingle A model of medium term exchange rate forecast in an open economy: the case of the mexican peso
Mosqueda Almanza, Rubén
Exchange rate forecast
Forex market
Asset valuation
Risk premium
Pronóstico del tipo de cambio
Mercado de divisas
Valuación de activos
Prima de riesgo
https://purl.org/pe-repo/ocde/ford#5.02.04
title_short A model of medium term exchange rate forecast in an open economy: the case of the mexican peso
title_full A model of medium term exchange rate forecast in an open economy: the case of the mexican peso
title_fullStr A model of medium term exchange rate forecast in an open economy: the case of the mexican peso
title_full_unstemmed A model of medium term exchange rate forecast in an open economy: the case of the mexican peso
title_sort A model of medium term exchange rate forecast in an open economy: the case of the mexican peso
author Mosqueda Almanza, Rubén
author_facet Mosqueda Almanza, Rubén
Guillén, Jorge
author_role author
author2 Guillén, Jorge
author2_role author
dc.contributor.author.fl_str_mv Mosqueda Almanza, Rubén
Guillén, Jorge
dc.subject.en_EN.fl_str_mv Exchange rate forecast
Forex market
Asset valuation
Risk premium
topic Exchange rate forecast
Forex market
Asset valuation
Risk premium
Pronóstico del tipo de cambio
Mercado de divisas
Valuación de activos
Prima de riesgo
https://purl.org/pe-repo/ocde/ford#5.02.04
dc.subject.es_ES.fl_str_mv Pronóstico del tipo de cambio
Mercado de divisas
Valuación de activos
Prima de riesgo
dc.subject.ocde.none.fl_str_mv https://purl.org/pe-repo/ocde/ford#5.02.04
description Keynes (1930) and Samuelson (1965) proposals open the possibility of matching predictability and efficiency, as evidenced by the seminal study by Fisher (1930). Recent findings suggest that the foreign exchange market gradually incorporates relevant information allowing the formation of prices in a rational manner but not randomly. 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. The results show that after incorporating an accurate measure of risk, predictability of medium term foreign exchange rate increases.
publishDate 2014
dc.date.accessioned.none.fl_str_mv 2023-01-23T02:17:25Z
dc.date.available.none.fl_str_mv 2023-01-23T02:17:25Z
dc.date.issued.fl_str_mv 2014
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dc.identifier.citation.none.fl_str_mv Mosqueda Almanza, R., & Guillén, J. (2014). A model of medium term exchange rate forecast in an open economy: the case of the mexican peso. Contaduría y Administración, 59(2), 197-225. https://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S0186-10422014000200009
dc.identifier.uri.none.fl_str_mv https://hdl.handle.net/20.500.12640/3310
identifier_str_mv Mosqueda Almanza, R., & Guillén, J. (2014). A model of medium term exchange rate forecast in an open economy: the case of the mexican peso. Contaduría y Administración, 59(2), 197-225. https://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S0186-10422014000200009
url https://hdl.handle.net/20.500.12640/3310
dc.language.none.fl_str_mv Inglés
dc.language.iso.none.fl_str_mv eng
language_invalid_str_mv Inglés
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dc.relation.ispartof.none.fl_str_mv urn:issn:0186-1042
urn:issn:2448-8410
dc.relation.uri.none.fl_str_mv https://www.scielo.org.mx/pdf/cya/v59n2/v59n2a9.pdf
dc.rights.*.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.en.fl_str_mv Attribution 4.0 International
dc.rights.uri.none.fl_str_mv https://creativecommons.org/licenses/by/4.0/
eu_rights_str_mv openAccess
rights_invalid_str_mv Attribution 4.0 International
https://creativecommons.org/licenses/by/4.0/
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidad Nacional Autónoma de México
dc.publisher.country.none.fl_str_mv MX
publisher.none.fl_str_mv Universidad Nacional Autónoma de México
dc.source.none.fl_str_mv reponame:ESAN-Institucional
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A model of medium term exchange rate forecast in an open economy: the case of the mexican peso
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