RESUMENEste artículo tiene como objetivo dar evidencia de cómo las posiciones netas de los especuladores (order flow) transmiten información al tipo de cambio (peso mexicano/dólar) en el corto y largo plazo. Se utiliza un modelo SVAR cointegrado para demostrar que las posiciones netas de los especuladores aumentan el poder explicativo y la precisión del pronóstico del tipo de cambio, pero lo más importante es que éstas tienen información sobre los fundamentos y además se asocian con movimientos transitorios del tipo de cambio que se generan por noticias de política monetaria. Nuestros resultados, tanto en el largo como en el corto plazo, son coherentes con la visión monetaria de Bilson para la determinación del tipo de cambio, ya que los choques monetarios transitorios, en cierta medida, se transmiten mediante las posiciones netas de los especuladores en México. ABSTRACTThis 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.
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