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Proyección De La Tasa De Cambio De Colombia Bajo Condiciones De Ppa: Evidencia Empírica Usando Var

Author

Listed:
  • CATHERINE FAYAD HERNÁNDEZ
  • ROBERTO CARLOS FORTICH MESA
  • IGNACIO VÉLEZ - PAREJA

Abstract

El trabajo evalúa la proyección de la tasa de cambio (peso colombiano/dólar) con datos de 1995 a 2005 de Colombia a través del modelo de Tasa de Cambio de Paridad de Poder Adquisitivo (TCPPA). Se realizó una comparación del desempeno en la muestra (reservando los datos históricos de 2001 a 2005) de las proyecciones de modelos que utilizan la PPA, con las de un modelo de Vectores Autorregresivos (VAR). El método VAR tiene mejor desempeno para predecir la tasa de cambio nominal, de acuerdo con los indicadoresRMSE, MAE y U-Theil, mientras que de acuerdo con el MAPE en el primer y segundo mes pronosticado, el VAR tiene peor desempeno que los modelos que utilizan PPA.

Suggested Citation

  • Catherine Fayad Hernández & Roberto Carlos Fortich Mesa & Ignacio Vélez - Pareja, 2009. "Proyección De La Tasa De Cambio De Colombia Bajo Condiciones De Ppa: Evidencia Empírica Usando Var," Estudios Gerenciales, Universidad Icesi, December.
    • Handle: RePEc:col:000129:006876
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    Cited by:

    1. Alfredo Bateman y Javier E. Martinez & Javier Esteban Martinez, 2010. "Cuaderno 4: Análisis de las fuentes de oferta y demanda en el mercado de divisas," Cuadernos de Desarrollo Económico 7586, Secretaría Distrital de Desarrollo Económico.

    More about this item

    Keywords

    Tasa de cambio; modelo de series de tiempo; modelación financiera.;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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