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Expectativas de depreciación y diferencial de tasas de interés: ¿Hay regímenes cambiantes? El caso de Perú

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Author Info

  • Humala, Alberto

Abstract

Este documento presenta una evaluación econométrica de la paridad descubierta de tasas de interés (PDI) para instrumentos financieros peruanos y documenta las principales regularidades empíricas respecto a esta relación. La información contenida en los diferenciales de tasas de interés respecto a la depreciación esperada es evaluada bajo distintas representaciones econométricas. En el caso peruano, si se consideran aproximaciones lineales y se incluyen períodos en los cuales las expectativas de inflación son relativamente altas, la paridad se cumpliría en promedio en el corto plazo (contrario a la evidencia internacional). En períodos de estabilidad de precios (bajo esquemas de metas de inflación), por el contrario, representaciones lineales muestran evidencia contraria a la PDI. En ambos escenarios, los modelos de cambios de régimen distinguen, sobre un mismo tamaño de muestra, entre períodos consistentes con la PDI y aquellos en que ésta no es tan relevante. En particular, los modelos Markov de regímenes cambiantes señalan la importancia de la volatilidad de los movimientos cambiarios para evaluar la validez de la PDI.

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File URL: http://www.bcrp.gob.pe/docs/Publicaciones/Revista-Estudios-Economicos/14/Estudios-Economicos-14-3.pdf
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Bibliographic Info

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

Volume (Year): (2007)
Issue (Month): 14 ()
Pages: 77-106

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Handle: RePEc:rbp:esteco:ree-14-03

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References

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  1. Ang, Andrew & Bekaert, Geert, 2002. "Short rate nonlinearities and regime switches," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1243-1274, July.
  2. Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche 9428, Universite de Montreal, Departement de sciences economiques.
  3. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc.
  4. René Garcia, 1995. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," CIRANO Working Papers 95s-07, CIRANO.
  5. Maria Soledad Martinez Peria, 2002. "A regime-switching approach to the study of speculative attacks: A focus on EMS crises," Empirical Economics, Springer, vol. 27(2), pages 299-334.
  6. Sarno, Lucio & Valente, Giorgio, 2005. "Empirical exchange rate models and currency risk: some evidence from density forecasts," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 363-385, March.
  7. Dahlquist, Magnus & Gray, Stephen F., 2000. "Regime-switching and interest rates in the European monetary system," Journal of International Economics, Elsevier, vol. 50(2), pages 399-419, April.
  8. Alain P. Chaboud & Jonathan H. Wright, 2003. "Uncovered interest parity: it works, but not for long," International Finance Discussion Papers 752, Board of Governors of the Federal Reserve System (U.S.).
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Citations

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Cited by:
  1. Winkelried, Diego, 2013. "Modelo de Proyección Trimestral del BCRP: Actualización y novedades," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 26, pages 9-60.
  2. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2013. "An Estimated Stochastic General Equilibrium Model with Partial Dollarization: A Bayesian Approach," Open Economies Review, Springer, vol. 24(2), pages 217-265, April.

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