A Study of the Mexican Peso Forward Exchange Market PDF Download
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Author: Agustin Guillermo Carstens Carstens
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 420
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Author: Agustin Guillermo Carstens Carstens
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 420
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Book Description
Author: Karen Elizabeth Parker
Publisher:
ISBN:
Category : Foreign exchange market
Languages : en
Pages : 264
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Author: Karen Elizabeth Parker
Publisher:
ISBN:
Category :
Languages : en
Pages : 510
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Book Description
Author: Mr.Paul R. Masson
Publisher: International Monetary Fund
ISBN: 1451929099
Category : Business & Economics
Languages : en
Pages : 36
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Book Description
This paper examines credibility and reputational factors in explaining the December 1994 crisis of the Mexican peso. After reviewing events leading to the crisis, a model emphasizing the inflation-competitiveness trade-off is presented to explain the formation of devaluation expectations. Estimation results indicate that investors appear to have seriously underestimated the risk of devaluation, despite early warning signals. The collapse of confidence that followed the December 20 devaluation may have been the result of a shift in the perceived commitment of the authorities to exchange rate stability.
Author: Santiago García-Verdú
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 38
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Author: Alejandro M. Werner
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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This paper studies the behavior of the Mexican peso during the floating exchange rate period of 1995-1996. We study the statistical properties of the exchange rate's daily fluctuations, and we compared them with those observed for other currencies. We conclude that except for the periods of extreme volatility experienced in 1995, which were associated with an increase in uncertainty towards the whole macroeconomic strategy, the volatility of the Mexican peso was similar to that experienced by other currencies under a floating exchange rate regime. We also study the effect of domestic and foreign interest rates on the exchange rate and its volatility. Finally, we look at the impact of exchange rate changes and foreign interest rates on domestic interest rates.
Author: Santiago García-Verdú
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 0
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Author: Romain Lafarguette
Publisher: International Monetary Fund
ISBN: 1513569406
Category : Business & Economics
Languages : en
Pages : 33
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This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
Author: Santiago García-Verdú
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Geert Bekaert
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 56
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