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Estimación del pass-through del tipo de cambio a precios: 1995-2002

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  • Miller, Shirley

Abstract

En este trabajo se estima la elasticidad del pass-through del tipo de cambio y precios importados hacia los precios al consumidor de la economía peruana para el período 1995-2002. La metodología se basa en el uso de vectores autorregresivos (VAR) que permite desarrollar un modelo de distribución de precios entre el importador, productor y consumidor. Los resultados muestran que el pass-through del tipo de cambio hacia los precios importados es significativo (83 por ciento en el largo plazo), mientras que el pass-through del tipo de cambio hacia los precios al consumidor es bajo (16 por ciento en el largo plazo), lo que sugiere que los productores absorben la mayor parte del choque de tipo de cambio mediante un ajuste de sus márgenes de ganancias. De otro lado, el pass-through de precios importados hacia los precios al consumidor (no motivado por un cambio en el tipo de cambio) es relativamente mayor (33 por ciento en el largo plazo). Finalmente, a partir del uso de vectores autorregresivos estructurales (SVAR), se analiza la fuente principal de los choques de tipo de cambio y precios, así como su respuesta a cada uno de ellos. Se halla un mayor pass-through de tipo de cambio hacia precios en el caso de choques nominales que en el caso de choques reales.

Suggested Citation

  • Miller, Shirley, 2003. "Estimación del pass-through del tipo de cambio a precios: 1995-2002," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 10.
    • Handle: RePEc:rbp:esteco:ree-10-05
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    File URL: https://www.bcrp.gob.pe/docs/Publicaciones/Revista-Estudios-Economicos/10/Estudios-Economicos-10-5.pdf
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    References listed on IDEAS

    as
    1. Choudhri, Ehsan U. & Hakura, Dalia S., 2006. "Exchange rate pass-through to domestic prices: Does the inflationary environment matter?," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 614-639, June.
    2. Campa, Jose M. & Goldberg, Linda S., 2002. "Exchange rate pass-through into import prices: A macro or micro phenomenon?," IESE Research Papers D/475, IESE Business School.
    3. Jonathan McCarthy, 2007. "Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies," Eastern Economic Journal, Eastern Economic Association, vol. 33(4), pages 511-537, Fall.
    4. Hausmann, Ricardo & Panizza, Ugo & Stein, Ernesto, 2001. "Why do countries float the way they float?," Journal of Development Economics, Elsevier, vol. 66(2), pages 387-414, December.
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    1. Maertens Odria, Luís Ricardo & Castillo, Paul & Rodriguez, Gabriel, 2012. "Does the exchange rate pass-through into prices change when inflation targeting is adopted? The Peruvian case study between 1994 and 2007," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1154-1166.
    2. Castellares, Renzo & Toma, Hiroshi, 2020. "Effects of a mandatory local currency pricing law on the exchange rate pass-through," Journal of International Money and Finance, Elsevier, vol. 106(C).
    3. Fernando J. Pérez Forero & Marco Vega, 2016. "Asymmetric Exchange Rate Pass-through: Evidence from Nonlinear SVARs," Working Papers 63, Peruvian Economic Association.
    4. Roberto Calero & Gabriel Rodríguez & Rodrigo Salcedo Cisneros, 2022. "Evolution of the Exchange Rate Pass-Throught into Prices in Peru: An Empirical Application Using TVP-VAR-SV Models," Documentos de Trabajo / Working Papers 2022-510, Departamento de Economía - Pontificia Universidad Católica del Perú.

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