Market responses to politics: The impact of U.S. presidential elections on the Mexican Peso
碩士 === 國立政治大學 === 財務管理研究所 === 105 === Many articles have shown the relationship between political events and currency markets. Nevertheless, few studies provide empirical evidence on how one country’s political elections have impact on movements of exchange rate in other country. In this paper, we a...
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/9gtn97 |
| Summary: | 碩士 === 國立政治大學 === 財務管理研究所 === 105 === Many articles have shown the relationship between political events and currency markets. Nevertheless, few studies provide empirical evidence on how one country’s political elections have impact on movements of exchange rate in other country. In this paper, we attempt to provide some empirical results by analyzing the impact of the 2016 United States presidential election on Mexico’s currency market. We use EGARCH models to estimate the influence of recent U.S. presidential candidates have on the mean and the variance of the Mexican foreign exchange market. We find statistically significant evidence that U.S. presidential election is associated with higher volatility of Mexico’s currency market, and the increase in the chance for a Clinton to win has positive impact on mean return of the peso-dollar exchange rate. These findings offer important insights into the expected impact of the United States presidential elections on the Mexican peso and more generally, the relationship between political events and foreign exchange market.
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