%0 Journal Article
%T Volatilidad estoc芍stica del tipo de cambio peso-d車lar: el r谷gimen flotante en M谷xico
%A L車pez Herrera
%A Francisco
%A Rodr赤guez Benavides
%A Domingo
%A Ortiz Arango
%A Francisco
%J Investigaci車n econ車mica
%D 2011
%I Universidad Nacional Aut車noma de M谷xico
%X this paper shows the results of the analysis of the volatility of the peso-dollar peg, which is carried out by a model in which the distribution of the peso's rate of return or appreciation (depreciation) is a mixture of normal distributions. exchange rate volatility is modeled as a stochastic variable whose process is determined by a markov chain with two states: one with low volatility and the other with high volatility. the estimated model allows us to identify the existence of two regimes or states in the volatility of the mexican currency but the volatility of the peso-dollar exchange rate is less persistent when compared with the volatility observed in other exchange rates. also a high probability for the low volatility regime is observed, which could be regarded as consistent with a relatively stable exchange rate.
%K exchange rate
%K exchange rate risk
%K exchange volatility
%K stochastic volatility
%K markov chains.
%U http://www.scielo.org.mx/scielo.php?script=sci_abstract&pid=S0185-16672011000200002&lng=en&nrm=iso&tlng=en