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Comportamiento estructural y predictivo de variables macroecónomicas: combinando MEEGD y VAR

Author

Listed:
  • Daniel Barráez Guzmán
  • Mariela Perdomo León

Abstract

En este trabajo, se estima conjuntamente mediante métodos bayesianos un VAR y un modelo estocástico de equilibrio general dinámico (MEEGD) para la economía venezolana. Los resultados obtenidos muestran que el VAR estimado tiene un mejor desempeno predictivo que los VAR tradicionalmente utilizados. La respuesta del MEEGD a un shock monetario y su mecanismo de transmisión es acorde con la teoría económica, contrae el producto y esta contracción reduce la inflación. Está técnica de estimación es lo suficientemente robusta para aplicar en economías que no exhiben un comportamiento estable.

Suggested Citation

  • Daniel Barráez Guzmán & Mariela Perdomo León, 2015. "Comportamiento estructural y predictivo de variables macroecónomicas: combinando MEEGD y VAR," Revista Semestre Económico, Universidad de Medellín, vol. 13(27), pages 81-97, September.
    • Handle: RePEc:col:000217:013795
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    More about this item

    Keywords

    Modelo estocástico de equilibrio general dinámico; VAR; estimación bayesiana; predicción;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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