Market microstructure model: study of varations of exchange rate for Asia and Latin America.

• Autor(a) principal: Soares, Vasco Salazar
• Data de Publicação: 2008
• Outros Autores: Lima, Antonieta
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/11328/410
• topic: Exchange rate; Market microstructure; Country risk; Commercial relations; Europe

The paper studies the commercial relations between Europe and its principal commercial partners, such as Asia and Latin America, for the period of 1999 to 2007. The methodology appeals to the correlation analysis of the variables of the model and the autocorrelation of the exchange rate variation variable, to the Augmented Dickey-Fuller (1979) and Philips-Perron tests (1988), and finally, to the market microstructure model suggested by Medeiros (2005). Medeiros (2005) model, when applied to the Asian and Latin American markets, in their relations with Europe, give us more consistent and stronger results, although R2 is still very low. An estimation with ARCH/GARCH-M methodology increases the model capacity substantially, confirming the previous results of Medeiros (2005).