Abstract

SANCHEZ VARGAS, Armando; ARENAS DIAZ, Guillermo  and  VILLARESPE REYES, Verónica. El papel de las posiciones netas de los especuladores en el proceso de formación de precios en un régimen de flotación. Evidencia de un modelo SVAR cointegrado para México. El trimestre econ [online]. 2015, vol.82, n.328, pp.929-959. ISSN 2448-718X.

This paper aims to provide evidence to shed light on the role of order flow in transmitting information to price, for the Mexican peso/US dollar exchange rate in the short and long run. Specifically, we offer a statistically sound characterization of how order flow conveys non-public information to such exchange rate and through which specific channels, order flow impulses contribute to mapping the relevant information. In order to do so, we use a cointegrated SVAR model to show that including order flow in a standard monetary model specification increases the explanatory power and forecast precision, but more importantly to demonstrate that order flow is informative about fundamentals and is associated with transitory exchange rate movements generated by monetary policy news. Our tests on the underlying long run and short run mechanisms confirm that the relation between the exchange rate and order flow is consistent with the macro approach to exchange rate determination, as suggested by Bilson’s version of the monetary model, and that transitory monetary shocks are, to some extent, transmitted to the nominal exchange rate through order flow in Mexico.

Keywords : posiciones netas de los especuladores; México; tipos de cambio.