Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Business
Mexican Peso Futures And Exchange Rate Volatility, Roberto Curci, Cynthia J. Brown
Mexican Peso Futures And Exchange Rate Volatility, Roberto Curci, Cynthia J. Brown
Scholarship and Professional Work - Business
The reintroduction of Mexican peso futures contracts in April 1995 resulted from a refocus of governmental policy to the use of market-based mechanisms to stabilize the exchange rate. Interest in the Mexican peso future contracts has been high as investors look to manage their exposure from transactions and investments denominated in pesos. This study utilizes a VAR framework to analyze the relationship between the volatility in theMexican peso spot market and futures contracts trading activity. Shocks to the exchange rate volatility lead to increased hedging-type activity. Furthermore, an increase in futures contracts trading activity (reflecting additional speculation-type activity) results in …