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Reglas de Taylor y previsibilidad fuera de muestra de la tasa de cambio en Latinoamérica

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  • Daniel Andrés Jaimes Cárdenas

    ()

  • Jair Ojeda Joya

    ()

Abstract

El presente trabajo estudia un modelo sustentado en los fundamentos de la regla de Taylor para evaluar la previsibilidad de la tasa de cambio nominal de seis divisas latinoamericanas - el peso argentino, el peso chileno, el peso colombiano, el peso mexicano, el peso uruguayo y el real brasileño - con respecto al dólar norteamericano. Se utilizaron pruebas econométricas para comparar el poder de predicción del modelo estructural con respecto a una caminata aleatoria en horizontes de pronóstico de un mes. Los resultados muestran que el modelo basado en las reglas de Taylor permite obtener pronósticos fuera de muestra superiores a los realizados por un modelo de caminata aleatoria para las seis divisas bajo estudio. Este resultado es robusto a distintas especificaciones del modelo las cuales consideran entre otros, coeficientes heterogéneos y la inclusión de la tasa de cambio real en la regla de política monetaria. Este resultado, a su vez, contrasta con la baja capacidad predictiva encontrada en los modelos tradicionales basados en los fundamentos de la paridad no cubierta de la tasa de interés, la paridad de poder adquisitivo, y del modelo monetario con precios flexibles. La metodología utilizada sigue de cerca la utilizada por Molodtsova y Papell (2009) para países desarrollados.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 619.

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Handle: RePEc:bdr:borrec:619

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Keywords: Previsibilidad fuera de muestra; Tasa de cambio nominal; Regla de Taylor. Classification JEL: C2; E5; F3.;

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