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Real Exchange Rate Misalignments and Economic Performance

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Alvaro Aguirre
César Calderón

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Abstract

El presente trabajo se enmarca en un APT (Ross, 1976a) de la vertiente de Variables Macroeconómicas, que tiene la ventaja (en comparación con Análisis Factorial) de permitir la interpretación económica de los factores y los premios por riesgo factoriales. Similar a Burmeister y McElroy (1988), consideramos cuatro factores macroeconómicos medidos y un factor no observado; la presencia de factores no observados es una generalización del trabajo previo de Chen, Roll y Ross (1986). Partiendo del modelo de factores, la Teoría de Precios por Arbitraje (APT) impone restricciones, las que son comprobadas empíricamente en el período 1990-2003. Además, el Modelo de Valoración de Activos de Capital (CAPM) está anidado en el APT, lo que permite someter a prueba el modelo CAPM. Nuestros resultados son: (a) la restricción del APT no es rechazada por los datos, (b) las sorpresas en la tasa de crecimiento del Índice Mensual de Actividad Económica (IMACEC), en el precio del cobre y en el precio del petróleo aparecen como factores con premios por riesgo estadísticamente distintos a cero en los retornos accionarios chilenos; mientras que las sorpresa en inflación no aparecen preciadas en la muestra, y (c) el modelo CAPM es fuertemente rechazado por los datos, en favor del APT.

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Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 316.

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Date of creation: Apr 2005
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Handle: RePEc:chb:bcchwp:316

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July. [Downloadable!] (restricted)
  2. Huberman, Gur & Kandel, Shmuel, 1987. " Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 42(4), pages 873-88, September. [Downloadable!] (restricted)
  3. Chen, Su-Jane & Jordan, Bradford D., 1993. "Some empirical tests in the arbitrage pricing theory: Macro variables vs. derived factors," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 65-89, February. [Downloadable!] (restricted)
  4. Lehmann, Bruce N. & Modest, David M., 1988. "The empirical foundations of the arbitrage pricing theory," Journal of Financial Economics, Elsevier, vol. 21(2), pages 213-254, September. [Downloadable!] (restricted)
  5. Chen, Nai-fu, 1983. " Some Empirical Tests of the Theory of Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 38(5), pages 1393-1414, December. [Downloadable!] (restricted)
  6. Roll, Richard & Ross, Stephen A, 1980. " An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December. [Downloadable!] (restricted)
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  1. Elbadawi, Ibrahim A. & Kaltani, Linda & Schmidt-Hebbel, Klaus, 2007. "Post-conflict aid, real exchange rate adjustment, and catch-up growth," Policy Research Working Paper Series 4187, The World Bank. [Downloadable!]
  2. Jorge Carrera & Romain Restout, 2008. "Long Run Determinants of Real Exchange Rates in Latin America," Working Papers 0811, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure. [Downloadable!]
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  3. Joshua Aizenman & Jaewoo Lee, 2008. "The Real Exchange Rate, Mercantilism and the Learning by Doing Externality," NBER Working Papers 13853, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. José De Gregorio & Andrea Tokman & Rodrigo Valdés, 2005. "Tipo de Cambio Flexible con Metas de Inflación en Chile: Experiencia y Temas de Interés," Economic Policy Papers Central Bank of Chile 14, Central Bank of Chile. [Downloadable!]
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