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El principio de paridad del poder de compra en America Latina: un analisis con cambio estructural

Listed author(s):
  • Domingo Rodriguez Benavides

    ()

    (Instituto Politecnico Nacional)

  • Ignacio Perrotini Hernandez
  • Jesus Santamaria Gonzalez
Registered author(s):

    Sometemos a prueba la hipotesis del principio de paridad del poder adquisitivo (PPP) que sostiene que el tipo de cambio real es estacionario alrededor de una media cambiante, conocida como Quasi-Qualified-PPP. Con datos de 17 paises de America Latina, aplicamos pruebas de raices unitarias en panel con rupturas estructurales en la media de las series. Adicionalmente, obtenemos estimaciones insesgadas de la vida media (half-life) de la convergencia del PPP en el panel de datos considerado, las cuales corrigen en forma simultanea los sesgos inducidos por i) la inapropiada agregacion de seccion cruzada de coeficientes heterogeneos; ii) la estimacion en muestras pequeñas de coeficientes de rezagos dinamicos y iii) la agregacion temporal de los precios de los productos basicos. Los resultados verifican el cumplimiento de la Quasi-Qualified-PPP y muestran que la vida media es de aproximadamente 4 años con un intervalo de confianza del 95% de 2.7-6.8 años.

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    File URL: http://www.revistascientificas.udg.mx/index.php/EQ/article/view/4875/4550
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    Article provided by Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia. in its journal EconoQuantum, Revista de Economia y Negocios.

    Volume (Year): 13 (2016)
    Issue (Month): 1 (Enero-Junio)
    Pages: 159-178

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    Handle: RePEc:qua:journl:v:13y:2016:i:1:p:159-178
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    Web page: http://econoquantum.cucea.udg.mx

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    1. Wu, Yangru, 1996. "Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 54-63, February.
    2. D. Ventosa-Santaulària & M. Gómez-Zaldívar, 2013. "A comment on ‘Testing the validity of quasi-PPP hypothesis: evidence from a recent panel unit-root test with structural breaks’," Applied Economics Letters, Taylor & Francis Journals, vol. 20(2), pages 111-113, February.
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