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

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.

Grantor dc:publisher

Universidad del Rosario

Year dc:date

2013

Author dc:creator

• Obando Rozo, Nataly

• Cambios largos
• Conocimiento imperfecto
• Mercados de divisas
• Long Swings
• Imperfect Knowledge
• CVAR
• Currency markets
• Cambio exterior::América Latina
• Especulación::América Latina
• Mercado financiero::América Latina
• Modelos económicos
• Riesgo (Finanzas)

Statement dc:rights

• info:eu-repo/semantics/openAccess

Licence

• http://creativecommons.org/licenses/by-nc-nd/2.5/co/

Language dc:language

spa

Identifier

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

OAI identifier oai:identifier

oai:repository.urosario.edu.co:10336/4698