IDEAS home Printed from https://ideas.repec.org/p/chb/bcchwp/316.html
   My bibliography  Save this paper

Real Exchange Rate Misalignments and Economic Performance

Author

Listed:
  • Alvaro Aguirre
  • César Calderón

Abstract

El presente trabajo se enmarca en un APT (Ross, 1976a) de la vertiente de Variables Macroeconómicas, que tiene la ventaja (en comparación con Análisis Factorial) de permitir la interpretación económica de los factores y los premios por riesgo factoriales. Similar a Burmeister y McElroy (1988), consideramos cuatro factores macroeconómicos medidos y un factor no observado; la presencia de factores no observados es una generalización del trabajo previo de Chen, Roll y Ross (1986). Partiendo del modelo de factores, la Teoría de Precios por Arbitraje (APT) impone restricciones, las que son comprobadas empíricamente en el período 1990-2003. Además, el Modelo de Valoración de Activos de Capital (CAPM) está anidado en el APT, lo que permite someter a prueba el modelo CAPM. Nuestros resultados son: (a) la restricción del APT no es rechazada por los datos, (b) las sorpresas en la tasa de crecimiento del Índice Mensual de Actividad Económica (IMACEC), en el precio del cobre y en el precio del petróleo aparecen como factores con premios por riesgo estadísticamente distintos a cero en los retornos accionarios chilenos; mientras que las sorpresa en inflación no aparecen preciadas en la muestra, y (c) el modelo CAPM es fuertemente rechazado por los datos, en favor del APT.

Suggested Citation

  • Alvaro Aguirre & César Calderón, 2005. "Real Exchange Rate Misalignments and Economic Performance," Working Papers Central Bank of Chile 316, Central Bank of Chile.
  • Handle: RePEc:chb:bcchwp:316
    as

    Download full text from publisher

    File URL: http://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc316.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Robert A. Pari & Son-Nan Chen, 1984. "An Empirical Test Of The Arbitrage Pricing Theory," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 121-130, June.
    2. Huberman, Gur & Kandel, Shmuel, 1987. " Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 42(4), pages 873-888, September.
    3. Chen, Nai-fu, 1983. " Some Empirical Tests of the Theory of Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 38(5), pages 1393-1414, December.
    4. Roll, Richard & Ross, Stephen A, 1980. " An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
    5. Lehmann, Bruce N. & Modest, David M., 1988. "The empirical foundations of the arbitrage pricing theory," Journal of Financial Economics, Elsevier, vol. 21(2), pages 213-254, September.
    6. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    Full references (including those not matched with items on IDEAS)

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chb:bcchwp:316. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio Sepulveda). General contact details of provider: http://edirc.repec.org/data/bccgvcl.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.