Tipo de cambio, posiciones netas de los especuladores y el tamaño del mercado de futuros del peso mexicano

Abstract

The paper analyzes the relationship between the Mexican peso/ USD exchange rate and the net positions of speculators in the peso futures market at the Chicago Mercantile Exchange within the microstructure approach to exchange rate determination. For the period January 5th, 1999-November 1st, 2005, it is shown that the relationship has not been constant due to the fast growth in the peso futures market. This impliesthat any effort to forecast the peso/USD exchange rate exploiting this relationship must consider this fact.exchange rate, net positions of speculators, microstructure approach, order flows, futures market