US Monetary Policy Uncertainty Impact on Latin American Currency Market Volatility

Miriam Sosa; Alejandra Cabello-Rosales; Edgar Ortiz  Calisto

doi:10.4067/S0718-88702025000100067

Autores/as

Miriam Sosa Metropolitan Autonomous University
Alejandra Cabello-Rosales National Autonomous University of Mexico https://orcid.org/0000-0002-3569-1142
Edgar Ortiz Calisto National Autonomous University of Mexico https://orcid.org/0000-0001-5486-2982

DOI:

https://doi.org/10.4067/S0718-88702025000100067

Palabras clave:

Incertidumbre de la política monetaria, Economías Latinoamericanas, Volatilidad cambiaria, Modelo GARCH, Modelo MS-VAR

Resumen

El presente analiza si la incertidumbre de la política monetaria estadounidense (MPU) impacta la volatilidad del tipo de cambio de las economías latinoamericanas pertenecientes al Mercado Integrado Latinoamericano (MILA) durante el periodo 2004-2022. Para lograr el objetivo, empleamos modelos univariados GARCH y modelos de Vectores Autorregresivos con cambio de régimen de Markov (MSVAR). La originalidad subyace en el análisis de países emergentes, usando un modelo dinámico para observar cómo la volatilidad cambiaria es afectada mediante los cambios en la incertidumbre de la política monetaria estadounidense. Los hallazgos también revelan cómo evoluciona la volatilidad cambiaria y qué mercados son más vulnerables a choques monetarios externos. Los resultados sugieren memoria larga y persistencia en la volatilidad cambiaria, en particular el peso colombiano (COP), el peso chileno (CLP) y el sol peruano (PEN) parecen haber sido afectados por las medidas monetarias no convencionales implementadas durante la crisis financiera global en 2008. En contraste, el peso mexicano (MXN) ha sido afectado desde el impacto de las medidas monetarias en respuesta a la pandemia por COVID-19. Los resultados del modelo MS-VAR sugieren que la volatilidad cambiaria es influenciada por sus propios valores pasados. La incertidumbre monetaria estadounidense parece impactar la volatilidad cambiaria, sobre todo en el régimen de alta volatilidad.

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