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Una aplicación del modelo de cambio de régimen para el crecimiento y la evolución del tipo de cambio nominal en Chile: 1987-2001

Listed author(s):
  • Johnson, Christian A

    (Banco Central de Chile)

This article presents a historical analysis of the Chilean monthly growth rate and the Chilean Peso from 1987 to 2001, applying the Switching Regime methodology design by Hamilton (1989). Three scenarios were considered for each variable implying estimating a number of parameters using the expected maximization iterative procedure (EM). There is a characterization of the conditional density function for each state of the economy, defined by boom, sustainable growth, and finally, the state of an economy in recession. For the nominal exchange rate the three states are inflationary risk scenario, sustainable devaluation, and a real exchange rate appreciation environment. The estimation procedure shows that the economy moved into a recession density function scenario when the Asian Flu was evident in 1998. Currently, we are in the sustainable rate of growth scenario, with inflationary risks coming only from the exchange rate market. The mean growth in the three scenarios is 10.5%, 5.5%, and -2.4% implying a potential nonaccelerating inflationary rate of growth of around 5 to 6%. For the nominal exchange rate the mean values are 12%, 3% and -7% for each scenario. Exchange rate shows a steady state around 3% meaning a real depreciation of 0% given the inflationary target of 3 percent.//Este artículo presenta un análisis de la evolución del tipo de cambio nominal (peso/dólar) y del Indicador Mensual de Actividad Económica (Imacec) de Chile para el periodo 1987-2001, por medio de la estimación de un modelo de cambio de régimen, que se parametriza considerando tres estados de la economía utilizando el algoritmo iterativo de maximización de expectativas (ME). Se describen las distribuciones para el crecimiento de la economía y de la desvalorización del tipo de cambio condicionada a estos tres estados: crecimiento con riesgo inflacionario (boom), crecimiento sostenible y recesión, o para el caso del tipo de cambio, de desvalorizaciones con riesgo inflacionario, de devaluaciones sostenibles y de apreciación cambiaria. Se concluye que la economía vivió una etapa recesiva a partir de la crisis asiática y actualmente Chile se encuentra en una etapa de crecimiento sostenido. Se presenta evidencia de que estaríamos en un estado de devaluación con riesgo inflacionario. Se concluye, además, que la tasa actual de crecimiento de tendencia sería de 5 a 6%, en vez de las de 7 y 8% calculadas en estudios que utilizaron información anterior a la crisis asiática. El tipo de cambio nominal presentaría una evolución sostenible a tasas de 3%, muy similares a la meta inflacionaria, a modo de estabilizar el tipo de cambio real

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Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXIX (1) (2002)
Issue (Month): 273 (enero-marzo)
Pages: 65-94

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Handle: RePEc:elt:journl:v:69:y:2002:i:273:p:65-94
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