Memoria larga en el tipo de cambio nominal: evidencia internacional

• Autores: Héctor F. Salazar Núñez, Francisco Venegas Martínez
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 60, Nº. 3 (July–September 2015), 2015, págs. 615-630
• Idioma: español
• DOI: 10.1016/j.cya.2015.05.007
• Texto completo no disponible (Saber más ...)
• Dialnet Métricas: 1 Cita
• Resumen
  • español

    En este trabajo se examina la dinámica del tipo de cambio con respecto del dólar americano para varias economías, desarrolladas y en vías de desarrollo, con el fin de encontrar evidencia de memoria larga durante el periodo 1971-2012. Para ello se aplican las siguientes pruebas: coeficiente de Hurst, correlograma, gráfico de la varianza, Geweke y Porter-Hudak, así como estimador local de Whittle de Robinson. Al respecto, Chile, China, Islandia, Israel, México y Turquía presentaron evidencia de memoria larga de acuerdo con pruebas consistentes y, en consecuencia, se estimó para ellos un modelo Autorregresivo Fraccionalmente Integrado con Medias Móviles en los dominios del tiempo y la frecuencia. En el dominio del tiempo se empleó el método de máxima verosimilitud (Sowell, 1992), y en el dominio de la frecuencia se utilizó la técnica de Fox y Taqqu (1986). Los resultados del modelo Autorregresivo Fraccionalmente Integrado con Medias Móviles muestran que Chile, China, Islandia y México presentan evidencia de memoria larga en el tipo de cambio; el método de estimación que presenta el mejor ajuste a la curva original es el método de máxima verosimilitud exacta de acuerdo con el criterio de información de Akaike.

  • English

    This paper examines the dynamics of the exchange rate against the American dollar for several economies, developed and developing, in order to find evidence of long memory in the period 1971-2012. To do this, we apply the tests: Hurst coefficient, correlogram, variance graphic, Geweke and Porter-Hudak and the local Whittle estimator of Robinson. In this regard, Chile, China, Iceland, Israel, Mexico and Turkey presented evidence of long memory based on robust tests and, therefore, it was estimated for them an autoregressive integrated moving average model in the domains of time and frequency. In the time domain, we used the maximum likelihood method (Sowell, 1992), and in the frequency domain we apply the technique from Fox and Taqqu (1986). The results from the autoregressive integrated moving average model show that Chile, China, Iceland and Mexico have evidence of long memory in the exchange rate; the estimation method that presented the best fit to the original curve was the exact maximum likelihood method according to criteria Akaike information.

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