IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Proyeccion de la tasa de cambio de Colombia bajo condiciones de PPA: evidencia empirica y demostracion econometrica mediante VAR

  • Catherine Fayad

    ()

  • Roberto Fortich

    ()

  • Ignacio Velez-Pareja

    ()

En este trabajo evaluamos 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). En primer lugar encontramos que las proyecciones realizadas validan el uso de este modelo bajo determinadas condiciones dado que teóricamente es un buen indicador del comportamiento de largo plazo de la tasa de cambio nominal. El segundo hallazgo consistió en la comparación del desempeño 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 desempeño para predecir la Tasa de cambio nominal, de acuerdo con los indicadores RMSE, MAE, y U-Theil, mientras que de acuerdo con el MAPE en el primer y segundo mes pronosticado, el VAR tiene peor desempeño que los modelos que utilizan PPA.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: https://dl.dropboxusercontent.com/u/32340968/40408-wp12.pdf
Download Restriction: no

Paper provided by UNIVERSIDAD TECNOLÓGICA DE BOLÍVAR in its series DOCUMENTOS DE TRABAJO with number 005293.

as
in new window

Length: 15
Date of creation: 20 Feb 2009
Date of revision:
Handle: RePEc:col:000162:005293
Contact details of provider:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:col:000162:005293. 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: (Luis Carlos Diaz)

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.