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Un Análisis del Comportamiento del Tipo de Cambio Real en Chile

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Author Info
César Calderón M.

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Abstract

The main goal of this paper is to estimate the equilibrium real exchange rate path for Chile using a simple model for the 1977.I – 2003.III period. Using cointegration techniques, we find a cointegrating relationship between the real exchange rate (RER) and its fundamentals —that is, sectoral productivity differentials, the ratio of net foreign assets to GDP, the terms of trade and public absorption. Among our main results, we have: (a) the estimates of the RER equation are qualitatively similar whenever we used the RER index TCR-5 or TCR total (which includes emerging economies in the basket of countries). (b) The real depreciation of the Chilean peso in the 1980s is mainly attributed to a greater net external indebtness in the country and to lower levels of public spending during periods of fiscal adjustment. (c) The real appreciation of the peso during 1990-97 is explained by an improvement in the net foreign asset position of Chile and growth in the relative productivity of the traded sector. (d) The model predicts poorly the movements in the 1998-2002 period. The only forces that predict a depreciation of the Chilean peso during this period are the decline in the terms of trade and the net foreign asset position.

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Article provided by Central Bank of Chile in its journal Economía Chilena.

Volume (Year): 7 (2004)
Issue (Month): 1 (April)
Pages: 5-30
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Handle: RePEc:chb:bcchec:v:7:y:2004:i:1:p:5-30

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March. [Downloadable!]
  2. repec:cup:etheor:v:7:y:1991:i:1:p:1-21 is not listed on IDEAS
  3. Cedric Tille & Nicolas Stoffels & Olga Gorbachev, 2001. "To what extent does productivity drive the dollar?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, issue Aug. [Downloadable!]
  4. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July. [Downloadable!] (restricted)
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Cited by:
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  1. Jesús Ferreyra & Jorge Salas, 2006. "The Equilibrium Real Exchange Rate in Peru: BEER Models and Confidence Band Building," Working Papers 2006-006, Banco Central de Reserva del Perú. [Downloadable!]
  2. José De Gregorio & Andrea Tokman & Rodrigo Valdés, 2005. "Tipo de Cambio Flexible con Metas de Inflación en Chile: Experiencia y Temas de Interés," Economic Policy Papers Central Bank of Chile 14, Central Bank of Chile. [Downloadable!]
  3. Klaus Schmidt-Hebbel, 2006. "La Gran Transición de Regímenes Cambiarios y Monetarios en América Latina," Economic Policy Papers Central Bank of Chile 17, Central Bank of Chile. [Downloadable!]
  4. José De Gregorio & Andrea Tokman & Rodrigo Valdés, 2005. "Tipo de cambio flexible y fijación de metas inflacionarias en Chile: experiencia y aspectos resaltantes," RES Working Papers 4428, Inter-American Development Bank, Research Department. [Downloadable!]
  5. José De Gregorio & Andrea Tokman & Rodrigo Valdés, 2005. "Flexible Exchange Rate with Inflation Targeting in Chile: Experience and Issues," RES Working Papers 4427, Inter-American Development Bank, Research Department. [Downloadable!]
  6. Guillermo R. LeFort-Varela, 2005. "Capital Account Liberalization and the Real Exchange Rate in Chile," IMF Working Papers 05/132, International Monetary Fund. [Downloadable!]
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