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Proyección de precios de exportación utilizando tipos de cambio: Caso peruano

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Author Info

  • Ferreyra, Jesús

    (Banco Central de Reserva del Perú)

  • Vásquez, José

    (Banco Central de Reserva del Perú)

Abstract

La proyección de los términos de intercambio es un insumo relevante para el diseño de políticas macroeconómicas y es de vital importancia en países como Perú, cuya economía es pequeña y exportadora principalmente de materias primas. En el presente documento se aplica la metodología utilizada por Chen, Rogoff y Rossi (2009) para predecir la variación de los precios de exportación de Perú utilizando las variaciones de un índice de tipos de cambio de países exportadores de materias primas. Los resultados muestran que los tipos de cambio tienen un elevado poder predictivo de los precios de exportación del Perú, incluso mayor al de otros modelos ampliamente utilizados como los procesos autorregresivos o paseos aleatorios.

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Bibliographic Info

Paper provided by Banco Central de Reserva del Perú in its series Working Papers with number 2012-008.

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Date of creation: Feb 2012
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Handle: RePEc:rbp:wpaper:2012-008

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Related research

Keywords: Tipo de cambio; precios de los commodities; proyecciones; random walk;

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