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Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD

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  • Guillermo Benavides Perales

    (Banco de México)

Abstract

El objetivo del presente trabajo es analizar cuáles son los principales determinantes de la prima de riesgo de tipo de cambio (ERP por sus siglas en inglés). El caso empírico se lleva a cabo para el peso-dólar diario durante un período a partir de 2007 y hasta 2015. De acuerdo con los resultados obtenidos el ERP está influenciado por diversas variables financieras que son el VIX, un Índice de carry trade, el EMBI y la prima por ordenes de transacciones en contratos de derivados. Estos resultados están en línea con los resultados previos en la literatura que han demostrado que las primas de tipo de cambio son influenciados por diversas variables financieras, que por lo general se consideran como "proxies" de riesgo.

Suggested Citation

  • Guillermo Benavides Perales, 2016. "Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 11(1), pages 55-77, Enero-Jun.
    • Handle: RePEc:imx:journl:v:11:y:2016:i:1:p:55-77
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    File URL: http://www.remef.org.mx/index.php/remef/article/view/77/138
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    References listed on IDEAS

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    More about this item

    Keywords

    Exchange rates; Mexican peso-USD; Risk-Neutral Densities; Risk premiums;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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