Posts Tagged ‘tipo de cambio

20
Jun
11

Gráfico du Jour: Algunos pronósticos 2012…

(Fuente: JP Morgan, via FT Alphaville)

 

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11
Jul
10

Paper: Una Crónica de Colapsos

Chronicle of currency collapses: re-examining the effects on output

Abstract:

The impact of currency collapses (ie large nominal depreciations or devaluations) on real output remains unsettled in the empirical macroeconomic literature. This paper provides new empirical evidence on this relationship using a dataset for 108 emerging and developing economies for the period 1960-2006. We provide estimates of how these episodes affect growth and output trend. Our main finding is that currency collapses are associated with a permanent output loss relative to trend, which is estimated to range between 2% and 6% of GDP. However, we show that such losses tend to materialise before the drop in the value of the currency, which suggests that the costs of a currency crash largely stem from the factors leading to it. Taken on its own (ie ceteris paribus) we find that currency collapses tend to have a positive effect on output. More generally, we also find that the likelihood of a positive growth rate in the year of the collapse is over two times more likely than a contraction; and that positive growth rates in the years that follow such episodes are the norm. Finally, we show that the persistence of the crash matters, ie one-time events induce exchange rate and output dynamics that differ from consecutive episodes.

Link al Paper

29
Apr
10

Pair Trading, Dolar-Euro

FT Alphaville tiene un post dedicado a los modelos quants (pair trading aplicado al tipo de cambio euro/dolar) y a su impacto -via trading– en la zona euro.

(…) Funds trading the Euro-US dollar (EURUSD) typically use a pair trading technique pinched from equities trading models. The currencies model buys EURUSD on a statistical dip below the level of EURUSD implied by the 2-year swap spread. In other words, it assumes a mean reversion between the swap spread and the currency pair. (…) a start it’s been forcing the EURUSD to trade within a very specific range (…) Plus, the swap spread hasn’t decreased by very much since Germany continues to do reasonably well — or at least better than Greece and its porcine brethren.

El articulo cita palabras team de monedas del BNP Paribas, con respecto a este tema

EURUSD is currently traded by four main classes of investors:1. Importers/exporters who have had a non-negligible impact in keeping EURUSD from moving lower 2. Macro hedge funds which had expressed their bearish credit view on EMU via EURUSD bearish positions 3. Systematic funds who trade EURUSD in deviation to the 2 year EURUSD swap spread 4. Central Bank and Sovereign Wealth Funds which have generally under-invested in EUR and likely USD and behave as a mix of macro and systematic funds. The net impact of this activity has been to temporarily block the downward path of EURUSD, a tragedy for EMU as it has accelerated the next wave of the sovereign crisis and triggered the Greece rescue package.

06
Feb
10

Paper: Yield Curve y Retornos

Yield Curve Predictors of Foreign Exchange Returns

Abstract:
In a no-arbitrage framework, any variable that affects the pricing of the domestic yield curve has the potential to predict foreign exchange risk premiums. The most widely used interest rate predictor is the difference in short rates across countries, known as carry, but the short rate is only one of many factors affecting domestic yield curves. We find that in addition to interest rate levels other yield curve predictors have significant ability to forecast the cross section of currency returns. In particular, changes of interest rates and term spreads significantly predict excess foreign exchange returns, exhibit low skewness risk, and are lowly correlated with carry returns. Predictability from these yield curve variables persists up to 12 months and is robust to controlling for other predictors of currency returns.

Link al Paper




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