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Presiones cambiarias en el Perú: Un enfoque no lineal

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  • Morales Vásquez, Daniel
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    Abstract

    El trabajo estudia las presiones cambiarias en el Perú de 1996 a 2010. Se utiliza un modelo de cambio de régimen para detectar y caracterizar estas presiones, clasificándolas en tres estados: depreciación, apreciación y movimientos normales. Luego, se estudian los factores que explicarían aquellas presiones en el mercado cambiario. Se encuentra que aumentos de la tasa de interés internacional disminuyen la probabilidad de encontrarse en un período de apreciación y que una mejora en la balanza comercial incrementa la probabilidad de encontrarse en un período apreciatorio. Asimismo, la pérdida de valor de una moneda fuerte como el yen frente al dólar, fenómeno asociado con un incremento de la percepción de riesgo internacional, aumenta la probabilidad de encontrarse en un período de depreciación cambiaria. Finalmente, se encuentra que la política fiscal no habría sido un factor determinante para generar presiones cambiarias.

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    Bibliographic Info

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

    Volume (Year): (2011)
    Issue (Month): 20 ()
    Pages: 57-71

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    Handle: RePEc:rbp:esteco:ree-20-03

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