{"id":72632,"date":"2005-08-02T00:00:00","date_gmt":"2005-08-02T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/dinamica-no-lineal-del-tipo-de-cambio-aplicacion-al-mercado-mexicano\/"},"modified":"2005-08-02T00:00:00","modified_gmt":"2005-08-02T00:00:00","slug":"dinamica-no-lineal-del-tipo-de-cambio-aplicacion-al-mercado-mexicano","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/dinamica-no-lineal-del-tipo-de-cambio-aplicacion-al-mercado-mexicano\/","title":{"rendered":"Dinamica no lineal del tipo de cambio: aplicaci\u00f3n al mercado mexicano"},"content":{"rendered":"<h2>Tesis doctoral de <strong>  Cortez Alejandro Klender Aimer <\/strong><\/h2>\n<p>La finalidad del estudio consisti\u00f3 en comprobar que el tipo de cambio tc pesos\/d\u00f3lar  compra y venta exhibe una din\u00e1mica no lineal y que el comportamiento individual o en masa de los participantes del mercado cambiario es una de las causas que origina esta din\u00e1mica.En primer lugar realizamos una revisi\u00f3n de los modelos cl\u00e1sicos para explicar el tc y concluimos que los contrastes emp\u00edricos sobre estos modelos fueron en general desfavorables para explicar el tc en los a\u00f1os recientes tomamos como punto de prartida la siguientes pregunta:el tc pesos \/d\u00f3lar \u00c2\u00bfsigue un paseo aleatorio?  para dar respuesta a esta cuesti\u00f3n dividimos la serie completa sc de estudio en dos periodos:bandas cambiarias bc del oz\/eme 192 al 22\/dic\/94  y el r\u00e9gimen flexible rf del 23\/dic\/94 al 30\/sep\/03.Utilizamos pruebas de bondad de ajuste y concluimos que nuestras series no sguian una distribuci\u00f3n normal.  finalmente , ralizamos el test de ljung-box y comprobamos que los datos estaban correlacionados no eran variables iid.Posteriormente ajustamos modelos arma y los resultados no mostraron residuos independientes a excepci\u00f3n de las bc , z aleatoriamente en el rf y 3 persistencia en la sc. Por otro lado,encontramos que el tc-compra mostraba mayor persistencia que el tc-venta .Tambi\u00e9n aplicamos los modelos arfima y vivimos que no generaron una mejoria considerable.As\u00ed, optamos por el estudio de la teoria del caos y modelos estoc\u00e1sticos no linales.Concluimos que las bc exhib\u00edan una din\u00e1mica ca\u00f3tica , mientras que el preriodo de rf tambi\u00e9n mostraba un comportamiento no lineal pero de car\u00e1cter estacastico y se ajustaba a un garch li,i.Con esto podr\u00edamos enternder los preiodos de bc y rf pero faltavba la sc.Para ello , propusimos la hip\u00f3tesis del mercado cambiario coherente.As\u00ed, clasificariamos el tc pesos\/dolares en 4 fases que dependen del sesgo fundamental y el comportamiento en masa de los participantes del mercado:1) ca\u00f3tico 1992,1993 y 1994,2<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Dinamica no lineal del tipo de cambio: aplicaci\u00f3n al mercado mexicano<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Dinamica no lineal del tipo de cambio: aplicaci\u00f3n al mercado mexicano <\/li>\n<li><strong>Autor:<\/strong>\u00a0  Cortez Alejandro Klender Aimer <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Barcelona<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 08\/02\/2005<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>D\u00eddac Ram\u00edrez  Sarri\u00f3<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Antonio Alegre escolano <\/li>\n<li>Fernando Fernandez rodriguez (vocal)<\/li>\n<li>dulce Contreras bayarri (vocal)<\/li>\n<li> Vives santa culalia josep (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Cortez Alejandro Klender Aimer La finalidad del estudio consisti\u00f3 en comprobar que el tipo de cambio tc [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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