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Interest rate parity: Is it alternative for the computation of the equilibrium exchange rate in Venezuela?

  • Josefa Ramoni Perazzi

    (Universidad de Los Andes, Facultad de Ciencias Económicas y Sociales, Departamento de Economía)

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    Las interrogantes en torno a los factores determinantes del Tipo de Cambio (TC) buscan ser resueltos por diferentes enfoques. El método comúnmente utilizado, compara el poder de compra de la moneda dentro y fuera del país, lo que se conoce como Paridad del Poder Adquisitivo (PPA). Por otro lado, la Paridad de Intereses (PI), compara la rentabilidad de inversiones financieras domésticas y foráneas. Se explora aquí, la validez de ambas teorías en el comportamiento cambiario de Venezuela, haciendo uso del test de cointegración de Johansen. Habiéndose verificado la vigencia de la PPA, más no de la PI, se construye un modelo de corrección de error y se recurre al test de causalidad de Granger, para verificar la dirección de la relación.

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    Article provided by Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela in its journal Economía.

    Volume (Year): 23 (1998)
    Issue (Month): 14 (January-December)
    Pages: 151-174

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    Handle: RePEc:ula:econom:v:23:y:1998:i:14:p:151-174
    Contact details of provider: Postal: Facultad de Ciencias Económicas y Sociales. Instituto de Investigaciones Económicas y Sociales. Campus Universitario Liria, Edificio G, Tercer Nivel. Mérida 5101, Estado Mérida, Venezuela
    Phone: +58 74 401111 ext. 1081
    Fax: +58 74 401120
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    1. Cochran, Steven J. & DeFina, Robert H., 1995. "Predictable components in exchange rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(1), pages 1-14.
    2. Ericsson, Neil R., 1992. "Cointegration, exogeneity, and policy analysis: A synopsis," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 395-400, August.
    3. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    4. David W.R. Gruen & Jenny Wilkinson, 1991. "Australia’s Real Exchange Rate – Is it Explained by the Terms of Trade or by Real Interest Differentials?," RBA Research Discussion Papers rdp9108, Reserve Bank of Australia.
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