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Presiones cambiarias en el Perú: Un enfoque no lineal

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  • Morales Vásquez, Daniel

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.

Suggested Citation

  • Morales Vásquez, Daniel, 2011. "Presiones cambiarias en el Perú: Un enfoque no lineal," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 20, pages 57-71.
    • Handle: RePEc:rbp:esteco:ree-20-03
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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