Sobre la prelación de las restricciones al crecimiento económico: abogando por la perspectiva basada en la huella ecológica
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Paridad de tasas cubierta, modelos de vectores autorregresivos, modelos de vectores con corrección de error, prima forward, tipo de cambio, liquidez de fondeoResumen
Este artículo se prueba y cuantifica los efectos de la reducción en el acceso al fondeo sobre la paridad de tasas cubierta (CIP) entre el dólar de Estados Unidos y el peso mexicano. Para ello se estima un modelo de vectores con corrección de error. Los resultados sugieren que, primero, las desviaciones aparentes de la CIP desaparecen cuando se incluyen medidas de la liquidez. Segundo, la prima forward en el mercado del tipo de cambio y la tasa de interés externa se ajustan hacia la relación de cointegración. Finalmente, choques sobre la liquidez en Estados Unidos y en Europa determinan las desviaciones de la CIP. En términos de política, se subraya la relevancia de las medidas de liquidez al evaluar el funcionamiento del mercado cambiario. Existen algunas limitaciones en el análisis que merecen consideración. Primero, las medidas de liquidez podrían cambiar entre regímenes de no-a estacionario. Segundo, los participantes de mercado podrían enfrentar condiciones de liquidez distintas a las que las tasas de interés sugieren. Las series financieras muestran un comportamiento ARCH, ello será objeto de
trabajo futuro.
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