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

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  • Miller, Shirley
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    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.

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    File URL: http://www.bcrp.gob.pe/docs/Publicaciones/Revista-Estudios-Economicos/10/Estudios-Economicos-10-5.pdf
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    Bibliographic Info

    Article provided by Banco Central de Reserva del Perú in its journal Revista Estudios Económicos.

    Volume (Year): (2003)
    Issue (Month): 10 ()
    Pages:

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    Handle: RePEc:rbp:esteco:ree-10-05

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    1. 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.
    2. Ricardo Hausmann & Ugo Panizza & Ernesto H. Stein, 2000. "Why Do Countries Float the Way They Float?," Research Department Publications 4205, Inter-American Development Bank, Research Department.
    3. Dalia Hakura & Ehsan U. Choudhri, 2001. "Exchange Rate Pass-Through to Domestic Prices," IMF Working Papers 01/194, International Monetary Fund.
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    Cited by:
    1. Paul Castillo & Luis Maertens Odria & Gabriel Rodríguez, 2011. "Does The Exchange Rate Pass-Through Into Prices Change When Inflation Targeting Is Adopted? The Peruvian Case Study Between 1994 And 2007," Documentos de Trabajo 2011-314, Departamento de Economía - Pontificia Universidad Católica del Perú.

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