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Investigación económica
versão impressa ISSN 0185-1667
Resumo
ARRANZ, Matilde e IGLESIAS, Emma M.. Analysis of the Exchange Rate in the Mexican Economy and Comparison with Other Countries: An Approach of Estochastic Volatileness. Inv. Econ [online]. 2005, vol.64, n.253, pp.159-169. ISSN 0185-1667.
Since volatility is known to be one of the main characteristics of a one series, this paper analyses the evolution of the daily spot exchange rate in Mexico, Norway, United Kingdom, South Africa and Venezuela using a stochastic volatility model. It is shown that, in the period from 01 /06/1998 to 30/06/2000, series that have similar volatility level of their exchange rate, this behaves less in some countries (United Kingdom, South Africa and Mexico) than in others (Norway). On the other hand, in Venezuela, exchanges rates show very low although its is much more unstable. The chosen estimation method has been proposed by Kim, Shephard and Chib (1998) using the Markov Chain Monte Carlo (MCMC) algorithm. This method has, in small samples, better properties than another alternative methods.