PPP, UIP and Fisher parity: speculation or rational expectations? Evidence for four Latin American countries


Autoria(s): Obando Rozo, Nataly
Contribuinte(s)

Otero, Jesús

Data(s)

13/09/2013

Resumo

This work aims to test the equilibrium relations of two international macroeconomics models for Colombia, Chile, Mexico and Brazil. The first model is the rational expectation hypothesis (REH) where three key relations will be tested: Purchasing Power Parity (PPP), Uncovered Interest Rate Parity (UIP) and the Fisher Parity condition. The second model follows the line of though of Imperfect Knowledge Economics (IKE) where two equilibrium relations will be tested. According to IKE, even under the assumption that agents are rational, the presence of speculative behavior in financial markets helps explain the long swings often observed in the behavior of exchange rates. The results support the view that the predictions of the IKE model hold for Colombia, while those of the REH hold for both Brazil and Mexico. Mixed findings are obtained for Chile.

This work aims to test the equilibrium relations of two international macroeconomics models for Colombia, Chile, Mexico and Brazil. The first model is the rational expectation hypothesis (REH) where three key relations will be tested: Purchasing Power Parity (PPP), Uncovered Interest Rate Parity (UIP) and the Fisher Parity condition. The second model follows the line of thought of Imperfect Knowledge Economics (IKE) where two equilibrium relations will be tested. According to IKE, even under the assumption that agents are rational, the presence of speculative behavior in financial markets helps explain the long swings often observed in the behavior of exchange rates. The results support the view that the predictions of the IKE model hold for Colombia, while those of the REH hold for both Brazil and Mexico. Mixed findings are obtained for Chile.

Formato

application/pdf

Identificador

http://repository.urosario.edu.co/handle/10336/4698

Idioma(s)

spa

Publicador

Facultad de Economía

Direitos

info:eu-repo/semantics/openAccess

Fonte

instname:Universidad del Rosario

reponame:Repositorio Institucional EdocUR

Palavras-Chave #CAMBIO EXTERIOR - AMÉRICA LATINA #ESPECULACIÓN - AMÉRICA LATINA #MERCADO FINANCIERO - AMÉRICA LATINA #MODELOS ECONÓMICOS #RIESGO (FINANZAS) #Long Swings, Imperfect Knowledge, CVAR, Currency markets
Tipo

info:eu-repo/semantics/masterThesis

info:eu-repo/semantics/acceptedVersion