Abstract
This paper is about developing a nonlinear model to predict the behavior of future exchange rate based on the opinion of the economic agents participating in the dollar/peso market. Such views are treated with Fuzzy Logic and a variant of it, known as the Theory of Forgotten Effects. The aim is to find a mechanism for making coverage decisions that allow us an optimal exchange rate risk management at a lower cost than that which involves operations with traditional hedging instruments. For the period of investigation and applying this model, the results support that the collective opinions of economic experts involved in the decision making risk management of exchange rate provide better results than those using traditional methods in the future markets.
Highlights
This paper is about developing a nonlinear model to predict the behavior of future exchange rate based on the opinion of the economic agents participating in the dollar/peso market
Such views are treated with Fuzzy Logic and a variant of it, known as the Theory of Forgotten Effects
The aim is to find a mechanism for making coverage decisions that allow us an optimal exchange rate risk management at a lower cost than that which involves operations with traditional hedging instruments
Summary
En la utilización de una matriz borrosa, m la valuación de un par:. en donde A y B son referenciales dados que en lugar de tomar un valor entre 0 y 1 pueden tomar un valor entre 0 y 1, expresado de la siguiente manera:. Veamos un ejemplo con la matriz borrosa de sólo una muestra de variables domésticas que en opinión de los expertos inciden en el comportamiento del tipo de cambio peso-dólar. En la Tabla 8 se presentan las valuaciones de las incidencias proporcionadas por los expertos. Se observa que las reservas (1) tienen una influencia sobre el mercado de bonos domésticos de 0.8. Podemos ver que los CETES a 28 días (3) y los futuros del peso (8) tienen la incidencia de mayor importancia (1) sobre el mercado de bonos. Según se observa de lo anterior, los expertos han dado sus valuaciones para las incidencias directas; tendremos entonces que calcular los efectos de segundo orden de la siguiente manera: m(2) = m(1) o m(1). (9 → 12) El mercado de bonos ejerce gran influencia sobre el tipo de cambio, Tabla 8.
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
