COULD THE EXCHANGE RATE REGIME REDUCE MACROECONOMIC VOLATILITY?

This study intends to determine the kind of relationship existing between the exchange rate regime and real volatility. After carefully revising theoretical and empirical results of previous research, a new methodology is proposed that corrects deficiencies found in previous empirical papers. The results show non-neutrality of the exchange rate regime. Particularly, it is found that the more rigid the regime, the greater the real volatility. Even when a classification of the exchange rate regime is performed allowing a comparison between consistent pegging and consistent floating, the former has a higher volatility. Countries with "fear of floating" or "inability of pegging" behavior exhibit lower volatility than consistent pegs.

Could the Exchange Rate Regime Reduce Macroeconomic Volatility?

This study intends to determine the relationship existing between the exchange rate regime and real volatility. After revising the theoretical and empirical results of previous research, it is proposed a new methodology that corrects deficiencies of previous empirical papers. The results show non-neutrality of the exchange rate regime. Particularly, it is found that the more rigid the regime is the grater real volatility will be. Even when it is performed an exchange rate regime classification that allows a comparison between consistent pegging and consistent floating, the former has a higher volatility. Countries with “fear of floating†behavior exhibit lower volatility than consistent pegsreal volatility, exchange rate regime, panel data

Inversores Financieros en los Mercados de Commodities: Un Modelo con Dinámica de Ajuste no Lineal al Equilibrio.

Commodity prices have been growing fast in the last few years and this has caused countless economic changes worldwide. This paper looks for a place in this topic offering a smooth transition vector autoregressive model whose motivation is rooted in the heterogeneous agent based models literature. The econometric methodology aims at identifying both those variables that influence prices in the long run –obtaining in this way an “equilibrium” or “fundamental” price, and the mechanisms that start, strengthen and eventually correct short run deviations with respect to that equilibrium. The empirical results suggest that current peaks of commodities should be carefully treated. Particularly, those records levels should not been automatically taken for granted as permanent prices for the near future.

Cambio fundamental o especulación financiera en los mercados de commodities? Un modelo con ajuste no lineal al equilibrio

Commodity prices have been growing fast in the last few years and this has caused countless economic changes worldwide. This paper looks for a place in this topic offering a smooth transition vector autoregressive model whose motivation is rooted in the heterogeneous agent based models literature. The econometric methodology aims at identifying both those variables that influence prices in the long run –obtaining in this way an “equilibrium” or “fundamental” price, and the mechanisms that start, strengthen and eventually correct short run deviations with respect to that equilibrium. The empirical results suggest that current peaks of commodities should be carefully treated. Particularly, those records levels should not been automatically taken for granted as permanent prices for the near future

Inversores financieros en los mercados de commodities: un modelo con dinámica de ajuste no lineal al equilibrio

Los precios de los commodities han evidenciado un notable crecimiento en los últimos años, lo que ha traído consigo un sinnúmero de cambios en la economía mundial. Este trabajo busca efectuar un aporte dentro de esta temática a partir de la aplicación de un modelo autorregresivo vectorial con transición suave, enraizado en la literatura de agentes con expectativas heterogéneas. Se intenta comprender con esta metodología econométrica tanto las variables que influyen los precios de los commodities en el largo plazo, obteniendo así un precio de "equilibrio" o "fundamental", como los mecanismos de generación, amplificación y corrección de desviaciones de corto plazo respecto a tal referencia. Los resultados obtenidos sugieren una buena dosis de cautela a la hora de evaluar los precios corrientes como niveles permanentes de cara al futuro.Commodity prices have been growing fast in the last few years and this has caused countless economic changes worldwide. This paper looks for a place in this topic offering a smooth transition vector autoregressive model whose motivation is rooted in the heterogeneous agent based models literature. The econometric methodology aims at identifying both those variables that influence prices in the long run-obtaining in this way an "equilibrium" or "fundamental" price, and the mechanisms that start, strengthen and eventually correct short run deviations with respect to that equilibrium. The empirical results suggest that current peaks of commodities should be carefully treated. Particularly, those records levels should not been automatically taken for granted as permanent prices for the near future.Departamento de Economí

Inversores financieros en los mercados de <i>commodities</i>: un modelo con dinámica de ajuste no lineal al equilibrio

Los precios de los commodities han evidenciado un notable crecimiento en los últimos años, lo que ha traído consigo un sinnúmero de cambios en la economía mundial. Este trabajo busca efectuar un aporte dentro de esta temática a partir de la aplicación de un modelo autorregresivo vectorial con transición suave, enraizado en la literatura de agentes con expectativas heterogéneas. Se intenta comprender con esta metodología econométrica tanto las variables que influyen los precios de los commodities en el largo plazo, obteniendo así un precio de "equilibrio" o "fundamental", como los mecanismos de generación, amplificación y corrección de desviaciones de corto plazo respecto a tal referencia. Los resultados obtenidos sugieren una buena dosis de cautela a la hora de evaluar los precios corrientes como niveles permanentes de cara al futuro.Commodity prices have been growing fast in the last few years and this has caused countless economic changes worldwide. This paper looks for a place in this topic offering a smooth transition vector autoregressive model whose motivation is rooted in the heterogeneous agent based models literature. The econometric methodology aims at identifying both those variables that influence prices in the long run -obtaining in this way an "equilibrium" or "fundamental" price, and the mechanisms that start, strengthen and eventually correct short run deviations with respect to that equilibrium. The empirical results suggest that current peaks of commodities should be carefully treated. Particularly, those records levels should not been automatically taken for granted as permanent prices for the near future.Facultad de Ciencias Económica

Inversores financieros en los mercados de commodities: un modelo con dinámica de ajuste no lineal al equilibrio

Los precios de los commodities han evidenciado un notable crecimiento en los últimos años, lo que ha traído consigo un sinnúmero de cambios en la economía mundial. Este trabajo busca efectuar un aporte dentro de esta temática a partir de la aplicación de un modelo autorregresivo vectorial con transición suave, enraizado en la literatura de agentes con expectativas heterogéneas. Se intenta comprender con esta metodología econométrica tanto las variables que influyen los precios de los commodities en el largo plazo, obteniendo así un precio de "equilibrio" o "fundamental", como los mecanismos de generación, amplificación y corrección de desviaciones de corto plazo respecto a tal referencia. Los resultados obtenidos sugieren una buena dosis de cautela a la hora de evaluar los precios corrientes como niveles permanentes de cara al futuro.Commodity prices have been growing fast in the last few years and this has caused countless economic changes worldwide. This paper looks for a place in this topic offering a smooth transition vector autoregressive model whose motivation is rooted in the heterogeneous agent based models literature. The econometric methodology aims at identifying both those variables that influence prices in the long run-obtaining in this way an "equilibrium" or "fundamental" price, and the mechanisms that start, strengthen and eventually correct short run deviations with respect to that equilibrium. The empirical results suggest that current peaks of commodities should be carefully treated. Particularly, those records levels should not been automatically taken for granted as permanent prices for the near future.Departamento de Economí

Cambio fundamental o especulación financiera en los mercados de commodities? Un modelo con ajuste no lineal al equilibrio

Commodity prices have been growing fast in the last few years and this has caused countless economic changes worldwide. This paper looks for a place in this topic offering a smooth transition vector autoregressive model whose motivation is rooted in the heterogeneous agent based models literature. The econometric methodology aims at identifying both those variables that influence prices in the long run –obtaining in this way an “equilibrium” or “fundamental” price, and the mechanisms that start, strengthen and eventually correct short run deviations with respect to that equilibrium. The empirical results suggest that current peaks of commodities should be carefully treated. Particularly, those records levels should not been automatically taken for granted as permanent prices for the near future