Ir al menú de navegación principal Ir al contenido principal Ir al pie de página del sitio

ESTRATEGIAS, MERCADOS E INSTITUCIONES FINANCIERAS

Vol. 5 Núm. 1 (2011): La competitividad, elemento clave para la recuperación económica

Efectos sobre el riesgo cambiario del peso mexicano respecto al dólar estadounidense como consecuencia de la crisis de deuda Europea

Enviado
junio 30, 2016
Publicado
2018-08-23

Resumen

La crisis de deuda Europea, agravada por la crisis financiera y económica de los Estados Unidos, ha impactado a prácticamente todos los mercados financieros internacionales. El objetivo de esta investigación no experimental, cuantitativa, y correlacional descriptiva hace una aproximación metodológica para apreciar como la información negativa proveniente de Europa, ha afectado la volatilidad del tipo de cambio del peso mexicano respecto al dólar estadounidense. Los resultados sugieren que hasta el 15 de abril de 2011, el comportamiento de los índices accionarios de Estados Unidos, han tenido un efecto importante sobre la volatilidad del tipo de cambio,

Citas

  1. Aggarwal, R. (1981). Exchange rates and stock prices: a study of the USA capital markets under floating exchange rates. Akron Business and Economic Review.
  2. Alba, P., Bhattacharya, A., Claessens, S., Ghosh, S., et al. (1998). “Volatility and Contagion in a Financially Integrated World: Lessons from East Asia´s Recent Experience”, Banco Mundial y Banco Central de Chile, documento de trabajo.
  3. Andersen, T., Bollerslev, T., Christoffersen, P., y Diebold F. (2005). “Practical Volatility and Correlation Modeling for Financial Market Risk Management” en Risks of financial institutions, University of Chicago.
  4. Baig, T., y Goldfjan, I. (2000). The Russian Default and the Contagion to Brazil, Fondo Monetario Internacional, documento de trabajo, 160.
  5. Bayoumi, T., Fazio, G., Kumar, M., y MacDonald, R. (2003). Fatal Attraction: A New Measure of Contagion, Fondo Monetario Internacional, documento de trabajo, 80.
  6. Bikhchandani, S. (1992). A Bargaining Model with Incomplete Information. Review of Economics Studies, 59, 187-203.
  7. Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31(3).
  8. Boschi, M. (2004). International Financial Contagion: Evidence from the Argentina Crisis of 20012002, University of Essex, U. K., documento de trabajo.
  9. Calvo, G. (1998). Monetary Policy Challenges in Emerging Markets: Sudden Stop, Liability Dollarization, and Lender of Last Resort, National Bureau of Economic Research, documento de trabajo, 12788.
  10. Calvo, G. (1999). Crises in Emerging Market Economies. A Global Perspective ,National Bureau of Economic Research, documento de trabajo, 11305.
  11. Calvo, G., y Mendoza, E. (1999). Regional Contagion and the Globalization of Securities Markets, National Bureau of Economic Research, documento de trabajo, 7153.
  12. Calvo, S., y Reinhart, C. (1996). Capital Inflows to Latin America: Is there Evidence of Contagion Effects?, Institute for International Economics, Washington D.C., documento de trabajo.
  13. Caramazza, F., Ricci, L., y Salgado, R. (2000). Trade and Financial Contagion in Currency Crises, Fondo Monetario Internacional, documento de trabajo, 55.
  14. Choi, C., y Baek, S. (2004). Exchange rate regimes and international Reserves, working paper, myongji and Hongik University.
  15. Chow, E.H., y Solt, M.S. (1997). The exchange rate risk exposure of asset returns. Journal of Business , 70, 105-123.
  16. Christoffersen, P., y Diebold, F. (1998). How Relevant is Volatility Forecasting for Financial Risk Management, National Bureau of Economic Research, documento de trabajo, 6844.
  17. Dornbusch, R., Chul , Y., y Claessens S. (2000). Contagion: Understanding how it Spreads, The World Bank Research Observer, 15, 177-197.
  18. Dungey, M., Fry, R., Gonzalez B., y Martin V. (2004). A Comparison of Alternative Tests of Contagion with Applications, documento de trabajo, versión preliminar.
  19. Edwards, S. (1998). Interest Rate Volatility, Contagion and Convergence: An Empirical Investigation of the Cases of Argentina, Chile, and Mexico, Journal of Applied Economics, 1(1) , 55-86.
  20. Eichengreen, B., Rose, A., y Wyplosz, C. (1996). Contagious Currency Crises, National Bureau of Economic Research, documento de trabajo, 5681.
  21. Engle, R. (2001). The Use of GARCH/ARCH Models in Applied Econometrics, Journal of Economic Perspectives, 4(14), 157-168.
  22. Forbes, K., y Rigobon, R. (1999). Measuring Contagion: Conceptual and Empirical Issues, International Financial Contagion, Washington D.C.
  23. Forbes, K., y Rigobon, R. (2002). No Contagion, only Interdependence: Measuring Stock Market Co-Movements, The Journal of Finance, 58, 2223-2261.
  24. Forbes, K. (2003). The Asian Flu and Russian Virus: The International Transmission of Crises in Firm-Level Data, National Bureau of Economic Research, documento de trabajo, 7807.
  25. Frankel, J., y Schmukler, S. (1996). Crisis, Contagion, and Country Funds: Effects on East Asia and Latin America. Managing Capital Flows and Exchange Rates, Cambridge University Press.
  26. Glick, R., y Rose, A. (1999). Contagion and Trade: Why are Currency Crises Regional?, Journal of International Money and Finance, 4, 603-617.
  27. Goldstein, M. (1998). The Asian Financial Crisis: Causes, Cures, and Systemic Implications, Institute for International Economics, Washington, D.C.
  28. Hernández, L., y Valdés, R. (2001). What Drives Contagion: Trade, Neighborhood or Financial Links, International Review of Financial Analysis, 10, 203-218.
  29. Jaque, F. (2004). Emerging Market Economies: The Aftermath of Volatility: Contagion in a Selection of Three Financial Crises, Banco Central de Chile, documento de trabajo. 23.
  30. Kaminsky, G., Reinhart, C., y Végh, C. (2003). The Unholy Trinity of Financial Contagion, National Bureau of Economic Research.
  31. Karolyi, A.(2003). Does International Financial Contagion Really Exist?, Journal of International Finance, 6, 179-199.
  32. Kodres, L., y Pritsker, M. (2002). A Rational Expectations Model of Financial Contagion, Journal of Finance, 57, 769-799.
  33. Kumar, M., y Peraud, A. (2001). Pure Contagion and Investors’ Shifting Risk Appetite: Analytical Issues and Empirical Evidence, Fondo Monetario Internacional, documento de trabajo, Research Department, 01/134.
  34. Mandilaras, A., y Bird, G. (2007).Foreign Exchange Markets in South East Asia 1990-2004: An empirical analysis of spillovers during crisis and non crisis periods. The North American Journal of Economics and Finance, 18, 41-57.
  35. Mosser, T. (2003). What is International Financial Contagion?, International Finance, 2, 157-178.
  36. Pritsker, M. (2000). The Channels for Financial Contagion, Federal Reserve Board, Washington, D.C., documento de trabajo.
  37. Ravazzolo, F., y Kate, P. (2000). Stock Prices and Exchange Rate Dynamics. EFMA Athens, Cass Business School Research Paper.
  38. Rocha, M., Leitao, J., y Lobao, J. (2008). The contagion effects of financial crises on stock markets of developed countries, Technical University of Lisbon, Engineering and Mangement Department, documento de trabajo.
  39. Shleifer, A., y Vishny, R. (1995). The Limits of Arbitrage, National Bureau of Economic Research, documento de trabajo, núm. 5167.
  40. Soenen, L.A., y Hennigar, E.S. (1988). An analysis of exchange rates and stock prices – The US expierence between 1980 and 1986. Akron Business and Economic Review, (winter), 7-16.
  41. Van, C., y Weder, B. (2001). Sources of Contagion: Is It Finance or Trade?, Journal of International Economics, 54, .293-300.