Análisis de la volatilidad del tipo de cambio peso-dólar a través de modelos estocásticos
DOI:
https://doi.org/10.24275/uam/azc/dcsh/ae/2024v39n100/LopezPalabras clave:
Divisas, Peso mexicano, Tipo de cambio , Modelos de volatilidad , Covid-19Resumen
Analizamos la volatilidad de la paridad cambiaria peso-dólar mexicano utilizando tres modelos con el fin de evaluar el desempeño del riesgo cambiario y la capacidad de estos modelos para modelar dicho riesgo. El periodo comprendido entre el 21 de junio de 2017 y el 21 de junio de 2022 está marcado por eventos singulares que presionaron esta paridad cambiaria, por lo que es de gran interés estudiar las herramientas que se pueden utilizar para medir esta incertidumbre además de estudiar la propia incertidumbre cambiaria. La llegada de un político de izquierda a la presidencia fue un hecho sin precedentes. A principios de 2020, la guerra de precios en el mercado petrolero y la aparición de la pandemia de Covid-19 tuvieron efectos importantes en la economía mundial. Finalmente, la guerra en Ucrania sumó presiones al comercio internacional de materias primas, induciendo un episodio inflacionario con malas expectativas sobre el desempeño económico en todo el mundo. Los escenarios cambiarios planteados por los eventos mencionados nos proporcionan un contexto natural para probar cuál de los modelos de volatilidad postulados ofrece un mejor ajuste. De manera unánime, los resultados bajo los tres modelos sugieren que durante el primer año del periodo del presidente López Obrador la incertidumbre cambiaria se redujo en comparación con niveles anteriores, regresando nuevamente a esos niveles menores tras el cierre forzoso de actividades económicas por la aparición del Covid-19, a pesar de que la banda de fluctuación cambiaria ha sido ligeramente superior a la anterior a la pandemia y la guerra en Europa del Este.
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Derechos de autor 2024 Francisco López Herrera
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-SinDerivadas 4.0.
