<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462018000200273</article-id>
<article-id pub-id-type="doi">10.21919/remef.v13i2.277</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Is Mexico's Forward Exchange Rate Market Efficient?]]></article-title>
<article-title xml:lang="es"><![CDATA[¿El mercado mexicano de tipo de cambio a futuro es eficiente?]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Islas-Camargo]]></surname>
<given-names><![CDATA[Alejandro]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Cortez]]></surname>
<given-names><![CDATA[Willy Walter]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Sanabria Flores]]></surname>
<given-names><![CDATA[Tania Pamela]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
<xref ref-type="aff" rid="Aaf"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Instituto Tecnológico Autónomo de México Department of Statistics ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,University of Guadalajara Department of Quantitative Methods ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af3">
<institution><![CDATA[,University of Strathclyde  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>United Kingdom</country>
</aff>
<aff id="Af4">
<institution><![CDATA[,Banamex  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2018</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2018</year>
</pub-date>
<volume>13</volume>
<numero>2</numero>
<fpage>273</fpage>
<lpage>289</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462018000200273&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462018000200273&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462018000200273&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This study tests the unbiased forward exchange rate hypothesis for the Mexican exchange market. Instead of the linear regression base model, we use a nonlinear Markov switching model. The model identifies two states in the behavior of the forward exchange rate: one in which the null hypothesis of efficiency holds and the other one in which it does not. The results show that the unbiased hypothesis is rejected for both the 30 and 90 day forward rates when using a lineal model. However, when using the two-state Markov switching model we cannot reject the null hypothesis for the 30 day forward rate in the state identified as the efficient but we reject it in other state. For the 90 day forward rate we cannot distinguish between the two states. Therefore, the nonlinear two-state Markov switching model is far superior to the traditional single state linear regression model to test the unbiased forward exchange rate hypothesis. Our study provides evidence that the hypothesis of efficiency is rejected in periods of high uncertainty in the economy and policy decisions.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen El estudio prueba la hipótesis de no sesgo de la tasa forward de tipo de cambio para el mercado cambiario mexicano. Se utilizó un modelo no lineal de Markov con cambio de régimen en vez de un modelo de regresión lineal. El modelo identifica dos estados en el comportamiento del tipo de cambio forward : uno en el que la hipótesis nula de eficiencia se sostiene y otro en el que no. Con el modelo lineal la hipótesis se rechaza para ambas tasas forward, 30 y 90 días. Sin embargo, con el modelo de dos estados no es posible rechazar la hipótesis nula para la tasa forward de 30 días en el estado identificado como eficiente, pero se rechaza en el otro estado, En el caso de la tasa de 90 días no se distingue entre los dos estados. Por lo tanto, el modelo no lineal de Markov de dos estados es superior al modelo de regresión lineal para probar la hipotesis de no sesgo del tipo de cambio, la cual es rechazada en periodos de alta incertidumbre económica y política.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[C22]]></kwd>
<kwd lng="en"><![CDATA[C50]]></kwd>
<kwd lng="en"><![CDATA[C51]]></kwd>
<kwd lng="en"><![CDATA[E58]]></kwd>
<kwd lng="en"><![CDATA[F31;G14]]></kwd>
<kwd lng="en"><![CDATA[Forward exchange rate]]></kwd>
<kwd lng="en"><![CDATA[Unbiased Forward Exchange Rate Hypothesis]]></kwd>
<kwd lng="en"><![CDATA[Mexican Foreign Exchange Market]]></kwd>
<kwd lng="en"><![CDATA[Markov Switching]]></kwd>
<kwd lng="en"><![CDATA[Market Efficiency]]></kwd>
<kwd lng="es"><![CDATA[C22]]></kwd>
<kwd lng="es"><![CDATA[C50]]></kwd>
<kwd lng="es"><![CDATA[C51]]></kwd>
<kwd lng="es"><![CDATA[E58]]></kwd>
<kwd lng="es"><![CDATA[F31;G14]]></kwd>
<kwd lng="es"><![CDATA[Tipo de cambio forward]]></kwd>
<kwd lng="es"><![CDATA[Hipótesis de insesgamiento del tipo de cambio]]></kwd>
<kwd lng="es"><![CDATA[Mercado cambiario Mexicano]]></kwd>
<kwd lng="es"><![CDATA[Modelos de cambio de régimen de Markov]]></kwd>
<kwd lng="es"><![CDATA[Mercado eficiente]]></kwd>
</kwd-group>
</article-meta>
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