El papel de las alertas tempranas en la identificación de las crisis cambiarias en México 1996-2022

Autores/as

  • Edson Valdés Iglesias Universidad Veracruzana

DOI:

https://doi.org/10.24275/uam/azc/dcsh/ae/2022v38n97/Valdes

Palabras clave:

Crisis cambiaria, tipo de cambio, presiones especulativas, Markov‑Switching, máquinas de soporte vectorial (SVM)

Resumen

El objetivo general de este trabajo es analizar el papel que tienen los sistemas de alerta temprana para identificar las crisis cambiarias en México para el periodo 1996-2022. Esto fue calculado por medio del índice de presiones especulativas (ISP) que fue desarrollado en la década de los 90`s para predecir las disrupciones por las que atravesaron distintos países en vías de desarrollo. Se empleó un modelo de cambio de régimen de Markov y de máquinas de soporte vectorial (SVM) para capturar la dinámica del ISP. Los resultados obtenidos sugieren que los modelos de aprendizaje supervisado presentan un mejor desempeño que los modelos de cambio de régimen como un sistema de alerta temprana, ya que los modelos SVM pueden capturar las señales enviadas por distintas variables macroeconómicas que permiten armar las guías a partir de la respuesta de los eventos.

Clasificación JEL: C53; F31; F47; G01.

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Biografía del autor/a

Edson Valdés Iglesias, Universidad Veracruzana

Estudiante Doctorado en Ciencias Económicas, Universidad Autónoma Metropolitana.

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Publicado

2023-01-20

Cómo citar

Valdés Iglesias, E. (2023). El papel de las alertas tempranas en la identificación de las crisis cambiarias en México 1996-2022. Análisis Económico, 38(97), 39–56. https://doi.org/10.24275/uam/azc/dcsh/ae/2022v38n97/Valdes

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