پویایی بلند مدت اداری و نرخ تبادل بازار سیاه در امریکای لاتین

This paper attempts to investigate the long-run dynamic relationship between official and black-market exchange rates for four Latin America markets namely, Argentina, Brazil, Chile, and Mexico. We follow (Moore, M. J., & Phylaktis, K. (2000). Black and official exchange rates in the Pacific Basin: Some tests of dynamic behaviour. Applied Financial Economics, 10, 361–369.) and we distinguish between long-run informational efficiency and short-run predictability in a sense that these notions are compatible with cointegration and error-correction mechanisms (ECM). Our findings indicate a constant black-market premium for each country, which is taken as strong support for long-run informational efficiency between the official and black markets for foreign currency. In addition, the evidence of short-run predictability is not considered as a violation of market efficiency, but it is the outcome of optimal arbitrage by rational economic agents.

Many developing countries have experienced or are still experiencing the existence of dual or multiple markets for foreign currency. In dual or multiple exchange rate systems, two or more exchange rates side by side. There are circumstances where the existence of such dual or multiple exchange rates is legal. In this case, under a dual system, a government may set that official reserves are used to purchase primary products and goods (i.e. real transactions) at a predetermined (administratively fixed) exchange rate, while private financial transactions take place at a market freely determined exchange rate. The implementation of such system by governments of developing countries has the purpose to insulate the real sector from the high volatility observed in financial markets.

In this paper, we examined the long-run dynamics of official and black markets for foreign currency in Argentina, Brazil, Chile, and Mexico during the period 1971–1993. The main findings of our work are: First, using the Johansen, 1988 and Johansen, 1991 extended in Johansen, 1992a, Johansen, 1995 and Johansen, 1997 and Paruolo (1996) and Rahbek et al. (1999) to take into account the stochastic properties of I(2) variables, we were able to statistically identify a stable long-run relationship between the official and black-market Argentinean peso, Brazilian cruzeiro, Chilean peso, and Mexican peso vis-à-vis the U.S. dollar exchange rates. Second, the hypothesis of proportionality between the two exchange rates could not be rejected at the 5% level of significance for each country, implying a constant long-run black-market premium, a result that confirms an important result of the portfolio-balance model of black markets